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BRICT Ülkelerinin Sosyal Sorumlu Sermaye Piyasalarındaki Kantil Bağıntısı

Yıl 2024, Cilt: 39 Sayı: 3, 841 - 858, 04.09.2024
https://doi.org/10.24988/ije.1454184

Öz

Bu makalede, Brezilya, Rusya, Hindistan, Çin ve Türkiye'nin sosyal sorumlu sermaye endeksleri arasındaki şok bağlantılıkları incelenerek, Chatziantoniou vd. (2021) tarafından kullanılan kantil bağıntılılık yaklaşımını kullanarak ortalamada ve kuyruk bağlantılıklarını değerlendiriliyor. Veriler 4 Nisan 2018'den 31 Mart 2023'e kadar günlük zaman serilerini analiz eder. Statik ve dinamik analizin bulguları aşağıdaki şekilde sunulabilir. Statik kantil bağıntılılığı açısından kuyruk şoklarında, Rusya ve Hindistan net iletkenlerdir, Çin ise net alıcıdır. Ortalama kantilde ise Çin ve Türkiye net alıcılar, Brezilya, Hindistan ve Rusya net göndericilerdir. Dinamik kantil bağıntılılık değerlendirmesi göz önüne alındığında, bulgular, bağıntılılığın büyüklüğünün olumlu ve olumsuz şok bağıntılılığını önemli ölçüde artırdığını gösteriyor. Bu, BRICT ülkelerindeki sosyal sorumlu hisselerindeki piyasa dalgalanması dönemlerinde daha belirgin bir şok yayılmasını gösteriyor. Sosyal sorumlu yatırımların bulaşıcılığa duyarlı olabileceği ve bunun sonucunda aşırı piyasa dalgalanması dönemlerinde sınırlı portföy çeşitliliği avantajları sağlayacağına işaret ediyor. Analiz ayrıca, COVID-19 salgını ve Rusya-Ukrayna savaşı sırasında genel dinamik bağlantının önemli ölçüde arttığını gösteriyor.

Kaynakça

  • Agyei, S.K., Owusu Junior, P., Bossman, A., Asafo-Adjei, E., Asiamah, O., Adam, A.M. (2022). Spillovers and contagion between BRIC and G7 markets: new evidence from time-frequency analysis. PLoS One, 17(7), e0271088. https://doi.org/10.1371/journal.pone.0271088
  • Aharon, D.Y., Umar, Z., Vo, X. V. (2021). Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies. Financial Innovation, 7(59), 1–25. https://doi.org/10.1186/s40854-021-00274-w
  • Ando, T., Greenwood‐Nimmo, M., and Shin, Y. (2018). Quantile Connectedness: Modelling Tail Behaviour in the Topology of Financial Networks. Social Science Research Network. https://doi.org/10.2139/ssrn.3164772
  • Anyikwa, I., and Phiri, A. (2023). Quantile connectedness amongst BRICS equity markets during the COVID-19 pandemic and Russia–Ukraine war. Cogent Economics and Finance, 11(2). https://doi.org/10.1080/23322039.2023.2251300
  • Ateş, M., Çakan, C., and Koç, I. (2022). Comparative performance analysis of sustainable themed funds with traditional funds in Türkiye. Ekonomi Politika & Finans Araştırmaları Dergisi, 7(IERFM Özel Sayısı), 123-139. https://doi.org/10.30784/epfad.1148841
  • Baruník, J., and Kley, T. (2019). Quantile coherency: A general measure for dependence between cyclical economic variables. Econometrics Journal/the Econometrics Journal Online, 22(2), 131-152. https://doi.org/10.1093/ectj/utz002
  • Baruník, J., and Křehlík, T. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of Financial Econometrics, 16(2), 271-296.
  • Behera, B., Behera, P., and Sethi, N. (2023). Decoupling the role of renewable energy, green finance and political stability in achieving the sustainable development goal 13: empirical insight from emerging economies. Sustainable Development. https://doi.org/10.1002/sd.2657
  • Benlemlih, M., and Bitar, M. (2018). Corporate social responsibility and investment efficiency. Journal of Business Ethics, 148(3), 647-671.
  • Bouri, E., Saeed, T., Vo, X. V., and Roubaud, D. (2021). Quantile connectedness in the cryptocurrency market. Journal of International Financial Markets, Institutions and Money, 71, 101302. https://doi.org/10.1016/j.intfin.2021.101302
  • Chatziantoniou, I., Gabauer, D., and Stenfors, A. (2021). Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach. Economics Letters, 204, 109891. https://doi.org/10.1016/j.econlet.2021.109891
  • Deng, X. and Xiang, C. (2019). Can esg indices improve the enterprises’ stock market performance?—an empirical study from china. Sustainability, 11(17), 4765. https://doi.org/10.3390/su11174765
  • Diebold, F. X., and Yılmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006
  • Diebold, F. X., and Yılmaz, K. (2014). Measures of financial connectedness and systemic risk. The Journal of Finance, 69(3), 353-402.
  • Dikau, S. and Volz, U. (2021). Central bank mandates, sustainability objectives and the promotion of green finance. Ecological Economics, 184, 107022. https://doi.org/10.1016/j.ecolecon.2021.107022
  • Dutta, A. and Paul, B. (2023). Performance analysis of select esg funds in india. Management Journal for Advanced Research, 3(1), 1-7. https://doi.org/10.54741/mjar.3.1.1
  • Eurosif (2021). Eurosif Report 2021: Fostering Investor Impact Placing it at the Heart of Sustainable Finance. Retrieved June 13, 2022, from https://www.eurosif.org/wp-content/uploads/2021/11/2021-Eurosif-Report-Fostering-investor-impact.pdf
  • Eurosif (2021). Responsible Investment Strategies. Retrieved June 7, 2022, from https://www.eurosif.org/responsible-investment-strategies/
  • Fatemi, A., Glaum, M., and Kaiser, S. (2018). ESG performance and firm value: The moderating role of disclosure. Global Finance Journal, 38, 45-64.
  • Finogenova, Y., Kokarev, M., and Neiman, R. (2022). Development of esg investments in the russian market.. https://doi.org/10.56199/dpcsebm.fnwi4854
  • Ghosh, B., Pham, L., Teplova, T., and Umar, Z. (2023). COVID-19 and the quantile connectedness between energy and metal markets. Energy Economics, 117, 106420. https://doi.org/10.1016/j.eneco.2022.106420
  • GSIA (2021). Global Sustainable Investment Review 2020. Retrieved June 9, 2022, from http://www.gsi-alliance.org/wp-content/uploads/2021/08/GSIR-20201.pdf
  • Gupta, S. (2022). Growth and performance measurement of esg-themed mutual funds in india: an empirical investigation. Orissa Journal of Commerce, 9-26. https://doi.org/10.54063/ojc.2022.v43i02.02
  • Helmers, C., Patnam, M., and Rau, P. (2017). Do board interlocks increase innovation? evidence from a corporate governance reform in india. Journal of Banking & Finance, 80, 51-70. https://doi.org/10.1016/j.jbankfin.2017.04.001
  • Izmailova, M. (2023). The current state and the mechanism of the transformation of the esg agenda by Russian companies. Part 1. Mir (Modernization Innovation Research), 14(3), 344-360. https://doi.org/10.18184/2079-4665.2023.14.3.344-360
  • Kalash, İ. (2021). The impact of environmental performance on capital structure and firm performance: the case of Türkiye. Society and Business Review, 16(2), 255-277. https://doi.org/10.1108/sbr-11-2020-0138
  • Kamaşak, R. (2017). The contribution of tangible and intangible resources, and capabilities to a firm’s profitability and market performance. European Journal of Management and Business Economics, 26(2), 252-275.
  • Koop, G., Pesaran, M. H., and Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119-147.
  • Magkonis, G., and Tsopanakis, A. (2019). The Financial connectedness between Eurozone core and periphery: A disaggregated view. Macroeconomic Dynamics, 24(7), 1674-1699. https://doi.org/10.1017&/s1365100518000998
  • Malik, F., and Umar, Z. (2024). Quantile connectedness of oil price shocks with socially responsible investments. The North American Journal of Economics and Finance, 70, 102066. https://doi.org/10.1016/j.najef.2023.102066
  • Mazzucato, M., and Penna, C. C. (2016). Beyond market failures: The market creating and shaping roles of state investment banks. Journal of Economic Policy Reform, 19(4), 305-326.
  • Nezhnikova, E. (2023). Esg standard’s as the basis for sustainable economic development. E3s Web of Conferences, 431, 07042. https://doi.org/10.1051/e3sconf/202343107042
  • Oliveira, M., Ceglia, D., and Filho, F. (2016). Analysis of corporate governance disclosure: a study through brics countries. Corporate Governance, 16(5), 923-940. https://doi.org/10.1108/cg-12-2015-0159
  • Pesaran, H. H., and Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1), 17-29.
  • Raut, R., Kumar, R., and Das, N. (2020). Individual investors’ intention towards sri in India: an implementation of the theory of reasoned action. Social Responsibility Journal, 17(7), 877-896. https://doi.org/10.1108/srj-02-2018-0052
  • Ren, X., Shao, Q., and Zhong, R. (2020). Nexus between green finance, non-fossil energy use, and carbon intensity: empirical evidence from china based on a vector error correction model. Journal of Cleaner Production, 277, 122844. https://doi.org/10.1016/j.jclepro.2020.122844
  • Renneboog, L., Ter Horst, J., and Zhang, C. (2008). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking and Finance, 32(9), 1723-1742.
  • Scholtens, B. (2017). Why finance should care about ecology. Trends in Ecology and Evolution, 32(7), 500-505.
  • Smolo, E., Jahangir, R., Nagayev, R., and Tarazi, C. (2022). Performances of islamic and conventional equities during the global health crisis: time‐frequency analysis of brics+t markets. Review of Financial Economics, 40(3), 259-280. https://doi.org/10.1002/rfe.1152
  • Umar, Z., and Bossman, A. (2023). Quantile connectedness between oil price shocks and exchange rates. Resources Policy, 83, 103658. https://doi.org/10.1016/j.resourpol.2023.103658
  • Wang, N., Li, D., Cui, D., and Ma, X. (2022). Environmental, social, governance disclosure and corporate sustainable growth: evidence from china. Frontiers in Environmental Science, 10. https://doi.org/10.3389/fenvs.2022.1015764
  • Yaya, O., Adenikinju, O., and Olayinka, H. A. (2024). African stock markets’ connectedness: Quantile VAR approach. Modern Finance, 2(1), 51–68. https://doi.org/10.61351/mf.v2i1.70
  • Zhou, X., Tang, X., and Zhang, R. (2020). Impact of green finance on economic development and environmental quality: a study based on provincial panel data from china. Environmental Science and Pollution Research, 27(16), 19915-19932. https://doi.org/10.1007/s11356-020-08383-2

Quantile Connectedness Across Socially Responsible Equity Markets of The BRICT Nations

Yıl 2024, Cilt: 39 Sayı: 3, 841 - 858, 04.09.2024
https://doi.org/10.24988/ije.1454184

Öz

This paper investigates the shock linkages between the socially responsible equity indices of Brazil, Russia, India, China, and Türkiye, by using the quantile connectedness approach that is used by Chatziantoniou et al. (2021), to assess the median-based and tail connectivity, we will analyse daily time series data from April 4, 2018, to March 31, 2023. The outcomes of the static and dynamic analyses can be summarized as follows: for static quantile connectedness, Russia and India are net transmitters of shock at the tails, while China is a net receiver. China and Türkiye are net receivers, whereas Brazil, India, and Russia are net transmitters at the median quantile. Considering the dynamic quantile connectedness assessment, the findings indicate that the magnitude of connectedness significantly increases positive and negative shock connectedness. This suggests that during periods of extreme market volatility, socially responsible equity indices in BRICT nations experience more pronounced shock propagation. This suggests that socially responsible investments are susceptible to contagion and, as a result, provide restricted portfolio diversification advantages during periods of extreme market volatility. The analysis also indicates that there was a substantial rise in the overall dynamic connection during the COVID-19 pandemic and the Russia-Ukraine war.

Kaynakça

  • Agyei, S.K., Owusu Junior, P., Bossman, A., Asafo-Adjei, E., Asiamah, O., Adam, A.M. (2022). Spillovers and contagion between BRIC and G7 markets: new evidence from time-frequency analysis. PLoS One, 17(7), e0271088. https://doi.org/10.1371/journal.pone.0271088
  • Aharon, D.Y., Umar, Z., Vo, X. V. (2021). Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies. Financial Innovation, 7(59), 1–25. https://doi.org/10.1186/s40854-021-00274-w
  • Ando, T., Greenwood‐Nimmo, M., and Shin, Y. (2018). Quantile Connectedness: Modelling Tail Behaviour in the Topology of Financial Networks. Social Science Research Network. https://doi.org/10.2139/ssrn.3164772
  • Anyikwa, I., and Phiri, A. (2023). Quantile connectedness amongst BRICS equity markets during the COVID-19 pandemic and Russia–Ukraine war. Cogent Economics and Finance, 11(2). https://doi.org/10.1080/23322039.2023.2251300
  • Ateş, M., Çakan, C., and Koç, I. (2022). Comparative performance analysis of sustainable themed funds with traditional funds in Türkiye. Ekonomi Politika & Finans Araştırmaları Dergisi, 7(IERFM Özel Sayısı), 123-139. https://doi.org/10.30784/epfad.1148841
  • Baruník, J., and Kley, T. (2019). Quantile coherency: A general measure for dependence between cyclical economic variables. Econometrics Journal/the Econometrics Journal Online, 22(2), 131-152. https://doi.org/10.1093/ectj/utz002
  • Baruník, J., and Křehlík, T. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of Financial Econometrics, 16(2), 271-296.
  • Behera, B., Behera, P., and Sethi, N. (2023). Decoupling the role of renewable energy, green finance and political stability in achieving the sustainable development goal 13: empirical insight from emerging economies. Sustainable Development. https://doi.org/10.1002/sd.2657
  • Benlemlih, M., and Bitar, M. (2018). Corporate social responsibility and investment efficiency. Journal of Business Ethics, 148(3), 647-671.
  • Bouri, E., Saeed, T., Vo, X. V., and Roubaud, D. (2021). Quantile connectedness in the cryptocurrency market. Journal of International Financial Markets, Institutions and Money, 71, 101302. https://doi.org/10.1016/j.intfin.2021.101302
  • Chatziantoniou, I., Gabauer, D., and Stenfors, A. (2021). Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach. Economics Letters, 204, 109891. https://doi.org/10.1016/j.econlet.2021.109891
  • Deng, X. and Xiang, C. (2019). Can esg indices improve the enterprises’ stock market performance?—an empirical study from china. Sustainability, 11(17), 4765. https://doi.org/10.3390/su11174765
  • Diebold, F. X., and Yılmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006
  • Diebold, F. X., and Yılmaz, K. (2014). Measures of financial connectedness and systemic risk. The Journal of Finance, 69(3), 353-402.
  • Dikau, S. and Volz, U. (2021). Central bank mandates, sustainability objectives and the promotion of green finance. Ecological Economics, 184, 107022. https://doi.org/10.1016/j.ecolecon.2021.107022
  • Dutta, A. and Paul, B. (2023). Performance analysis of select esg funds in india. Management Journal for Advanced Research, 3(1), 1-7. https://doi.org/10.54741/mjar.3.1.1
  • Eurosif (2021). Eurosif Report 2021: Fostering Investor Impact Placing it at the Heart of Sustainable Finance. Retrieved June 13, 2022, from https://www.eurosif.org/wp-content/uploads/2021/11/2021-Eurosif-Report-Fostering-investor-impact.pdf
  • Eurosif (2021). Responsible Investment Strategies. Retrieved June 7, 2022, from https://www.eurosif.org/responsible-investment-strategies/
  • Fatemi, A., Glaum, M., and Kaiser, S. (2018). ESG performance and firm value: The moderating role of disclosure. Global Finance Journal, 38, 45-64.
  • Finogenova, Y., Kokarev, M., and Neiman, R. (2022). Development of esg investments in the russian market.. https://doi.org/10.56199/dpcsebm.fnwi4854
  • Ghosh, B., Pham, L., Teplova, T., and Umar, Z. (2023). COVID-19 and the quantile connectedness between energy and metal markets. Energy Economics, 117, 106420. https://doi.org/10.1016/j.eneco.2022.106420
  • GSIA (2021). Global Sustainable Investment Review 2020. Retrieved June 9, 2022, from http://www.gsi-alliance.org/wp-content/uploads/2021/08/GSIR-20201.pdf
  • Gupta, S. (2022). Growth and performance measurement of esg-themed mutual funds in india: an empirical investigation. Orissa Journal of Commerce, 9-26. https://doi.org/10.54063/ojc.2022.v43i02.02
  • Helmers, C., Patnam, M., and Rau, P. (2017). Do board interlocks increase innovation? evidence from a corporate governance reform in india. Journal of Banking & Finance, 80, 51-70. https://doi.org/10.1016/j.jbankfin.2017.04.001
  • Izmailova, M. (2023). The current state and the mechanism of the transformation of the esg agenda by Russian companies. Part 1. Mir (Modernization Innovation Research), 14(3), 344-360. https://doi.org/10.18184/2079-4665.2023.14.3.344-360
  • Kalash, İ. (2021). The impact of environmental performance on capital structure and firm performance: the case of Türkiye. Society and Business Review, 16(2), 255-277. https://doi.org/10.1108/sbr-11-2020-0138
  • Kamaşak, R. (2017). The contribution of tangible and intangible resources, and capabilities to a firm’s profitability and market performance. European Journal of Management and Business Economics, 26(2), 252-275.
  • Koop, G., Pesaran, M. H., and Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119-147.
  • Magkonis, G., and Tsopanakis, A. (2019). The Financial connectedness between Eurozone core and periphery: A disaggregated view. Macroeconomic Dynamics, 24(7), 1674-1699. https://doi.org/10.1017&/s1365100518000998
  • Malik, F., and Umar, Z. (2024). Quantile connectedness of oil price shocks with socially responsible investments. The North American Journal of Economics and Finance, 70, 102066. https://doi.org/10.1016/j.najef.2023.102066
  • Mazzucato, M., and Penna, C. C. (2016). Beyond market failures: The market creating and shaping roles of state investment banks. Journal of Economic Policy Reform, 19(4), 305-326.
  • Nezhnikova, E. (2023). Esg standard’s as the basis for sustainable economic development. E3s Web of Conferences, 431, 07042. https://doi.org/10.1051/e3sconf/202343107042
  • Oliveira, M., Ceglia, D., and Filho, F. (2016). Analysis of corporate governance disclosure: a study through brics countries. Corporate Governance, 16(5), 923-940. https://doi.org/10.1108/cg-12-2015-0159
  • Pesaran, H. H., and Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1), 17-29.
  • Raut, R., Kumar, R., and Das, N. (2020). Individual investors’ intention towards sri in India: an implementation of the theory of reasoned action. Social Responsibility Journal, 17(7), 877-896. https://doi.org/10.1108/srj-02-2018-0052
  • Ren, X., Shao, Q., and Zhong, R. (2020). Nexus between green finance, non-fossil energy use, and carbon intensity: empirical evidence from china based on a vector error correction model. Journal of Cleaner Production, 277, 122844. https://doi.org/10.1016/j.jclepro.2020.122844
  • Renneboog, L., Ter Horst, J., and Zhang, C. (2008). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking and Finance, 32(9), 1723-1742.
  • Scholtens, B. (2017). Why finance should care about ecology. Trends in Ecology and Evolution, 32(7), 500-505.
  • Smolo, E., Jahangir, R., Nagayev, R., and Tarazi, C. (2022). Performances of islamic and conventional equities during the global health crisis: time‐frequency analysis of brics+t markets. Review of Financial Economics, 40(3), 259-280. https://doi.org/10.1002/rfe.1152
  • Umar, Z., and Bossman, A. (2023). Quantile connectedness between oil price shocks and exchange rates. Resources Policy, 83, 103658. https://doi.org/10.1016/j.resourpol.2023.103658
  • Wang, N., Li, D., Cui, D., and Ma, X. (2022). Environmental, social, governance disclosure and corporate sustainable growth: evidence from china. Frontiers in Environmental Science, 10. https://doi.org/10.3389/fenvs.2022.1015764
  • Yaya, O., Adenikinju, O., and Olayinka, H. A. (2024). African stock markets’ connectedness: Quantile VAR approach. Modern Finance, 2(1), 51–68. https://doi.org/10.61351/mf.v2i1.70
  • Zhou, X., Tang, X., and Zhang, R. (2020). Impact of green finance on economic development and environmental quality: a study based on provincial panel data from china. Environmental Science and Pollution Research, 27(16), 19915-19932. https://doi.org/10.1007/s11356-020-08383-2
Toplam 43 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonometri (Diğer), Finansal Ekonomi
Bölüm Makaleler
Yazarlar

Ogan Erkin Erkan 0000-0002-3097-1209

Habil Gökmen 0000-0002-3004-945X

Erken Görünüm Tarihi 9 Temmuz 2024
Yayımlanma Tarihi 4 Eylül 2024
Gönderilme Tarihi 16 Mart 2024
Kabul Tarihi 21 Mayıs 2024
Yayımlandığı Sayı Yıl 2024 Cilt: 39 Sayı: 3

Kaynak Göster

APA Erkan, O. E., & Gökmen, H. (2024). Quantile Connectedness Across Socially Responsible Equity Markets of The BRICT Nations. İzmir İktisat Dergisi, 39(3), 841-858. https://doi.org/10.24988/ije.1454184

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Dokuz Eylül Üniversitesi Yayınevi Web Sitesi
https://kutuphane.deu.edu.tr/yayinevi/

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https://dergipark.org.tr/tr/pub/ije/contacts


İZMİR İKTİSAT DERGİSİ 2022 yılı 37. cilt 1. sayı ile birlikte sadece elektronik olarak yayınlanmaya başlamıştır.