The Impact of Greenhouse Gas Risks on Stock Market Returns: An Application on G7 Countries

Yıl 2024, Cilt: 24 Sayı: 4, 1705 - 1726, 23.12.2024

Erol Köycü

https://doi.org/10.18037/ausbd.1521955

Öz

This study investigates the impact of greenhouse gas risks on stock market returns. While carbon dioxide, methane, and nitrogen gas emissions are taken as greenhouse gases; the stock market benchmark indices of the G7 countries, which are defined as the seven most developed countries in the world, are taken as the basis for the stock market. Due to data limitations, the scope of the current study has been set as the 2000-2020 time period and the panel data analysis method has been applied. In this study, endogeneity and multicollinearity problems, cross-sectional dependence, and homogeneity/heterogeneity tests are tested respectively, and the model is estimated by performing unit root analysis in line with the findings obtained. The results of the analyses indicate that there are no endogeneity and multicollinearity problems among the variables used in the study, there is cross-sectional dependence, the variables are stationary at level I(0), there are problems of autocorrelation in the panel and it is appropriate to estimate the model with the fixed effects model. As a result of the estimation with the robust model estimator that solves the problem of autocorrelation, it is found that carbon dioxide and methane have a negative effect on stock market return, while nitrogen gas has a positive effect on stock market return. These findings suggest that investors reflect their concerns about climate change to stock markets through greenhouse gas emissions.

Anahtar Kelimeler

Stock Market Returns, Greenhouse Gas, Panel Data Analysis

Sera Gazı Risklerinin Pay Piyasası Getirisine Etkisi: G7 Ülkeleri Üzerine Bir Uygulama

Öz

Bu çalışmada sera gazı risklerinin pay piyasa getirisine etkisi araştırılmıştır. Sera gazı olarak karbondioksit, metan ve azot gazı salınımları alınırken; pay piyasası olarak dünyanın en gelişmiş yedi ülkesi olarak ifade edilen G7 ülkeleri pay piyasası gösterge endeksleri baz alınmıştır. Veri kısıtı dolayısıyla çalışmanın kapsamı 2000-2020 dönem aralığı olarak belirlenmiş ve panel veri analiz yöntemi uygulanmıştır. Çalışmada sırasıyla içsellik ve çoklu doğrusallık sorunları, yatay kesit bağımlılığı ve homojenlik/heterojenlik testleri sınanmış, elde edilen bulgular doğrultusunda birim kök analizi yapılarak model tahmini gerçekleştirilmiştir. Yapılan analizler sonucunda çalışmada kullanılan değişkenler arasında içsellik ve çoklu doğrusal bağlantı sorunlarının olmadığı, yatay kesit bağımlılığının olduğu, değişkenlerin düzeyde durağan olduğu I(0), panelde otokorelasyon sorununun olduğu ve tahmin edilecek modelde sabit etkiler modeli ile tahminleme yapmanın uygun olduğu tespit edilmiştir. Otokorelasyon sorununu çözen dirençli model tahmincisi ile yapılan tahminleme sonucunda karbondioksit ve metan gazının pay piyasa getirisini negatif yönde etkilediği, azot gazının ise pay piyasa getirisini pozitif yönde etkilediği tespit edilmiştir. Bu bulgular, yatırımcıların iklim değişikliğine ilişkin endişelerini sera gazı emisyonları aracılığıyla hisse senedi piyasalarına yansıttıklarını göstermektedir.

Anahtar Kelimeler

Pay Piyasa Getirisi, Sera Gazı, Panel Veri Analizi

Etik Beyan

Çalışma, etik kurul izni gerektirmeyen çalışmalar arasında yer almaktadır.

Destekleyen Kurum

Çalışmayı destekleyen bir kurum bulunmamaktadır.

Kaynakça

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