Investigating the Relationship between Selected Risk Measures and Sustainability Index

Yıl 2024, , 37 - 59, 26.07.2024

Dilara Demirez , Serkan Yılmaz Kandır

https://doi.org/10.46520/bddkdergisi.1525908

Öz

The aim of this study is to investigate the relationship between the Borsa Istanbul Sustainability
Index (XUSRD) and financial market risk indicators, namely the VIX, OVX, and GVZ volatility indices.
The sample period spans from 01.12.2014 to 01.12.2023. We employ the ARDL Bounds Test and the
Toda-Yamamoto Causality Test, using inflation and interest rate as control variables. The empirical
findings reveal that while OVX and GVZ do not have a significant long-term relationship with XUSRD,
there is a significant long-term relationship between VIX and XUSRD. The results indicate that VIX
has a negative impact on XUSRD and there is a unidirectional causality relationship from VIX, OVX,
and GVZ indices to XUSRD.

Seçilmiş Risk Ölçütleri ile Sürdürülebilirlik Endeksi Arasındaki İlişkinin Araştırılması

Öz

Bu çalışmanın amacı, finansal piyasalardaki risk göstergeleri olan VIX, OVX ve GVZ volatilite
endeksleri ile Borsa İstanbul Sürdürülebilirlik Endeksi (XUSRD) arasındaki ilişkinin araştırılmasıdır.
01.12.2014-01.12.2023 dönemini kapsayan ve ARDL Sınır Testi ile Toda-Yamamoto Nedensellik Testi
kullanılarak yapılan analizlerde, enflasyon ve faiz değişkenleri kontrol değişkenleri olarak kullanılmıştır.
Bulgulara göre, OVX ve GVZ ile XUSRD arasında uzun dönemde anlamlı bir ilişki bulunmazken; VIX
ile XUSRD arasında uzun dönemde anlamlı bir ilişki tespit edilmiştir. Sonuçlar, VIX'in XUSRD üzerinde
negatif etkisi olduğunu ve VIX, OVX, GVZ endekslerinden XUSRD'ye doğru tek yönlü nedensellik
ilişkisi bulunduğunu göstermektedir.

Anahtar Kelimeler

Risk, Sürdürülebilirlik endeksi, ARDL, Toda-Yamamoto

Kaynakça

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