Karbon, Altın, Bitcoin ve Bir Gelişen Piyasa Sürdürülebilirlik Endeksi Arasındaki Dinamik Bağlantılılık

Öz

Bu çalışma, BIST Sürdürülebilirlik Endeksi, Yeşil Tahvil, karbon emisyon izinleri, altın ve Bitcoin arasındaki evrilen bağlantılılığı, Ocak 2020 ile Şubat 2026 döneminde farklı jeopolitik risk (GPR) ortamları altında incelemektedir. TVP-VAR modeli, istatistiksel testler ve üçte birlik ayrıma dayalı sağlamlık tasarımı kullanılarak, yayılım yapısının GPR rejimleri arasında nasıl farklılaştığı analiz edilmiştir. Bulgular, Yeşil Tahvilin temel net şok yayıcısı, BIST Sürdürülebilirlik Endeksinin ise temel net şok alıcısı olduğu, orta düzeyde ve zaman içinde değişen bir bağlantılılık yapısına işaret etmektedir. Beklentilerin aksine, ortalama bağlantılılık düşük GPR döneminde anlamlı biçimde daha yüksektir; bu fark otokorelasyona dirençli testler, pandemi döneminin dışlanması ve COVID dönemi kontrolü altında da korunmakta; artan jeopolitik stres daha güçlü eş hareket yerine daha yüksek parçalanma ile ilişkilidir. Ayrıca, yayılımların yönsel mimarisi GPR rejimleri arasında farklılaşmaktadır. Özellikle altın, GPR yüksek olduğunda net alıcı konumundan net yayıcı konumuna geçerken, Bitcoin bunun tersini sergilemektedir. Bu yön değişimleri alternatif kurgularda işaret olarak tutarlıdır; Bitcoin'deki tersinme, üçte birlik ayrım altında otokorelasyona dirençli testlerle de doğrulanmaktadır. Sonuçlar, portföy çeşitlendirmesi ve kriz dönemlerinde korunma açısından önemli çıkarımlar sunmaktadır.

Anahtar Kelimeler

• Dinamik Bağlantılılık
• TVP-VAR
• Yeşil Tahviller
• Jeopolitik Risk
• BIST Sürdürülebilirlik Endeksi

Dynamic Connectedness among Green Bonds, Carbon, Gold, Bitcoin, and An Emerging-Market Sustainability Index Under Geopolitical Risk

Öz

This study examines the evolving interconnectedness among the BIST Sustainability Index, Green Bond, carbon emission allowances, gold, and Bitcoin under different geopolitical risk (GPR) environments from January 2020 through February 2026. A TVP-VAR model, combined with statistical testing and a tercile-based robustness design, is used to determine how the nature of spillovers differs across GPR regimes. The results reveal moderate time-varying connectedness, with Green Bond acting as the principal net transmitter and the BIST Sustainability Index as the primary net receiver. Contrary to expectations, average connectedness is significantly higher during the low-GPR period, and this difference survives autocorrelation-robust inference, the exclusion of the pandemic period, and a COVID-period control, indicating that elevated geopolitical stress is associated with greater fragmentation rather than stronger co-movement. In addition, the directional architecture of spillovers differs across GPR regimes: gold switches from a net receiver to a net transmitter under high GPR, whereas Bitcoin exhibits the opposite reversal. These shifts are consistent in sign across alternative specifications, and the Bitcoin reversal remains significant under dependence-robust inference in the tercile classification. These patterns carry important implications for portfolio diversification and crisis hedging.

Anahtar Kelimeler

• Dynamic Connectedness
• TVP-VAR
• Green Bonds
• Geopolitical Risk
• BIST Sustainability Index

Kaynakça

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