EXAMINING THE CAUSAL RELATIONSHIP BETWEEN GREEN BONDS AND SUSTAINABILITY INDICES IN THE CONTEXT OF SUSTAINABLE FINANCE

Öz

The green bond market is a new market (financial instrument) that responds to the growing demand from institutional and individual investors for financial investments that are economically and environmentally beneficial. This study used monthly data from the Borsa Istanbul Sustainability Index (BIST-SE) and the S&P Green Bond Index (SPGBI) between November 2014 and November 2024 to examine the relationship between the sustainability stock market and green bond indices in Turkey. The relationship between the variables is analysed using cointegration tests and causality analysis. The empirical results show that there is no relationship between stock markets and green bonds. The results provide important insights into this new market, depending on whether there is a relationship between the markets, and have important implications for asset pricing, hedging benefits across asset classes, portfolio management and risk management.

Anahtar Kelimeler

• Financial Markets
• Sustainable Finance
• Green Finance
• Green Bonds
• Sustainability Indices

SÜRDÜRÜLEBİLİR FİNANS ÇERÇEVESİNDE YEŞİL TAHVİLLER VE SÜRDÜRÜLEBİLİRLİK ENDEKSLERİ ARASINDAKİ NEDENSEL İLİŞKİNİN İNCELENMESİ

Öz

Yeşil tahvil piyasası, yeni bir (finansal araç) piyasa olup, kurumsal ve bireysel yatırımcıların ekonomik ve çevresel açıdan faydalı olan finansal yatırımlar için artan taleplerine karşılık gelen bir araçtır. Bu çalışmada, Türkiye’de sürdürülebilir hisse senedi piyasası ve yeşil tahvil endeksleri arasındaki bağlantıyı araştırmak için Borsa İstanbul Sürdürülebilirlik Endeksi (BIST-SE) ve S&P Yeşil Tahvil Endeksi (SPGBI)’ne ait Kasım 2014 ile Kasım 2024 dönemleri arasındaki aylık veriler kullanılmıştır. Değişkenler arasındaki bağlantı eşbütünleşme testleri ve nedensellik analizleri kullanılarak analiz edilmiştir. Ampirik sonuçlar, hisse senedi piyasaları ile yeşil tahviller arasında ilişki olmadığını göstermektedir. Sonuçlara göre piyasalar arasındaki nedensel ilişki olmaması ile birlikte bu bulgu, yeni piyasa açısından varlık fiyatlandırması, varlık sınıflarına karşı korunma faydaları, portföy yönetimi ve risk yönetimi için önemli çıkarımlar içermektedir.

Anahtar Kelimeler

• Finansal piyasalar
• sürdürülebilir finans
• yeşil finans
• yeşil tahviller
• sürdürülebilirlik endeksleri

Destekleyen Kurum

yok

Etik Beyan

Etik Kurul onayına gerek olmayan çalışmadır.

Teşekkür

yok

Kaynakça

1. Alharbi, S. S., Al Mamun, M., Boubaker, S., ve Rizvi, S. K. A. (2023). Green finance and renewable energy: A worldwide evidence. Energy Economics, 118, 106499. https://doi.org/10.1016/j.eneco.2022.106499
2. Arif, M., Hasan, M., Alawi, S. M., ve Naeem, M. A. (2021). COVID-19 and time-frequency connectedness between green and conventional financial markets. Global Finance Journal, 49, 100650. https://doi.org/10.1016/j.gfj.2021.100650
3. Ateş, M. H., Çakan, C. D., ve Koç, İ. (2022). Türkiye’de sürdürülebilir temalı fonların geleneksel fonlarla karşılaştırmalı performans analizi. Ekonomi Politika ve Finans Araştırmaları Dergisi, 7(Özel Sayı), 123-139. https://doi.org/10.30784/epfad.1148841
4. Banga, J. (2019). The green bond market: a potential source of climate finance for developing countries. Journal of Sustainable Finance & Investment, 9(1), 17-32. https://doi.org/10.1080/20430795.2018.1498617
5. Barclays, 2015, The cost of being green. Credit Research. Available at: https://www.environmentalfinance.com/assets/files/US_Credit_Focus_The_Cost_of_Being_Green.pdf
6. Başkaya, H. (2025) BİST sürdürülebilirlik endeksi ile diğer finansal endeksler arasındaki ilişkinin ve nedenselliğin analizi. Fiscaeconomia, 9(2), 1003-1021. https://doi.org/10.25295/fsecon.1541942
7. Bhutta, U. S., Tariq, A., Farrukh, M., Raza, A., ve Iqbal, M. K. (2022). Green bonds for sustainable development: Review of literature on development and impact of green bonds. Technological Forecasting and Social Change, 175, 121378. https://doi.org/10.1016/j.techfore.2021.121378
8. Climate Bond Initiative, (2024). https://www.climatebonds.net/ Çifçi, G., Reis, Ş. G., Çelikhan, F., ve Gürsel, T. (2024). S&P Yeşil Tahvil Endeksi ve VIX Endeksi ile BİST Sürdürülebilirlik Endeksi Arasında Bir İlişki Var mı? Dalgacık Uyum Analizi ile Bir İnceleme1. Seyhan, M. (ed) (2024). İşletme Alanında Seçilmiş Konular. Özgür Publications. DOI: https://doi.org/10.58830/ozgur.pub448. License: CC-BY-NC 4.0

9. Dickey, D.A., ve Fuller, W.A., 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Society75, 427–431.
10. Dickey, D. A., ve Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
11. Dolado, J. J., ve Lütkepohl, H. (1996). Making Wald tests work for cointegrated VAR systems. Econometric Reviews, 15(4), 369-386. https://doi.org/10.1080/07474939608800362
12. Enders, W., ve Lee, J. (2012). The flexible Fourier form and Dickey–Fuller type unit root tests. Economics Letters, 117(1), 196-199. https://doi.org/10.1016/j.econlet.2012.04.081
13. Erdoğan, D. (2022). İklim değişikliğinin etkilerini azaltma yolunda finansal bir çözüm önerisi olarak yeşil tahvil kullanımı. Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(2), 102-124. https://doi.org/10.53443/anadoluibfd.1078477
14. Engle, R. F., ve Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 251-276. https://doi.org/10.2307/1913236
15. Ferrer, R., Shahzad, S. J. H., ve Soriano, P. (2021). Are green bonds a different asset class? Evidence from time-frequency connectedness analysis. Journal of Cleaner Production, 292, 125988. https://doi.org/10.1016/j.jclepro.2021.125988
16. Fetting, C. (2020). The European green deal. ESDN Report, December, 2(9), 53. chrome-extension://efaidnbmnnnibpcajpcglclefindmkaj/https://www.esdn.eu/fileadmin/ESDN_Reports/ESDN_Report_2_2020.pdf
17. Flaherty, M., Gevorkyan, A., Radpour, S., ve Semmler, W. (2016). Financing climate policies through climate bonds (No. 2016-03). Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
18. Gök, İ. Y., ve Özdemir, O. (2017). The Performance Characteristic of Borsa Istanbul Sustainability Index. Sosyoekonomi, 25(34), 87-105. https://doi.org/10.17233/sosyoekonomi.290838
19. Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 424-438. https://doi.org/10.2307/1912791
20. Gregory, A. W., ve Hansen, B. E. (1996a). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99-126. https://doi.org/10.1016/0304-4076(69)41685-7
21. Gregory, A. W., ve Hansen, B. E. (1996b). Practitioners corner: tests for cointegration in models with regime and trend shifts. Oxford Bulletin of Economics and Statistics, 58(3), 555-560. https://doi.org/10.1111/j.1468-0084.1996.mp58003008.x Investing.com, 2024. https://www.investing.com/indices/bist-sustainability-historical-data
22. Krueger, P., Sautner, Z., ve Starks, L. T. (2020). The importance of climate risks for institutional investors. The Review of Financial Studies, 33(3), 1067-1111. https://doi.org/10.1093/rfs/hhz137
23. Nazlioglu, S., Gormus, N. A., ve Soytas, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175.
24. Nazlioglu, S., Gormus, A., ve Soytas, U. (2019). Oil prices and monetary policy in emerging markets: structural shifts in causal linkages. Emerging Markets Finance and Trade, 55(1), 105-117.
25. Noh, H.J. (2018). Financial strategy to accelerate green growth (ADBI Working Paper Series No. 866). https://www.adb.org/sites/default/files/publication/452656/adbi-wp866.pdf
26. Nur, T., ve Ege, İ. (2022). Yeşil Tahvil ve Pay Piyasası Arasındaki İlişkinin Zaman Serisi Analizleri ile Araştırılması. Muhasebe ve Finansman Dergisi, (94), 185-206. https://doi.org/10.25095/mufad.1049956
27. Okuyan, H. A., ve Deniz, D. (2020). Performance of Social Responsible Investments in Turkey: Evidence from BIST Sustainability Index. Business & Management Studies: An International Journal, 8(2), 2312-2330. https://doi.org/10.15295/bmij.v8i2.1523
28. Özdemir, L., ve Vurur, S. (2019). Volatility spillovers between BIST100 Index and S&P500 Index. In Contemporary Issues in Behavioral Finance (Vol. 101, pp. 29-43). Emerald Publishing Limited. Grima, S., Özen, E., Boz, H., Spiteri, J.,&Thalassinos, E. (Ed.) Contemporary Issues in Behavioral Finance (Contemporary Studies in Economic and Financial Analysis, Cilt. 101), Emerald Publishing Limited, Bingley (29-43). https://doi.org/10.1108/S1569-375920190000101003
29. Park, D., Park, J., ve Ryu, D. (2020). Volatility spillovers between equity and green bond markets. Sustainability, 12(9), 3722. https://doi.org/10.3390/su12093722
30. Pham, L. (2016). Is it risky to go green? A volatility analysis of the green bond market. Journal of Sustainable Finance & Investment, 6(4), 263-291. https://doi.org/10.1080/20430795.2016.1237244
31. Pham, L., ve Nguyen, C. P. (2021). Asymmetric tail dependence between green bonds and other asset classes. Global Finance Journal, 50, 100669. https://doi.org/10.1016/j.gfj.2021.100669
32. Reboredo, J. C. (2018). Green bond and financial markets: Co-movement, diversification and price spillover effects. Energy Economics, 74, 38-50. https://doi.org/10.1016/j.eneco.2018.05.030
33. Reboredo, J. C., ve Ugolini, A. (2020). Price connectedness between green bond and financial markets. Economic Modelling, 88, 25-38. https://doi.org/10.1016/j.econmod.2019.09.004
34. Sartzetakis, E. S. (2021). Green bonds as an instrument to finance low carbon transition. Economic Change and Restructuring, 54(3), 755-779. https://link.springer.com/article/10.1007/S10644-020-09266-9
35. S&P Global, (2024). S&P Green Bond Index. https://www.spglobal.com/spdji/en/indices/sustainability/sp-green-bond-index/#data-quick-facts. (Erişim Tarihi: 21.11.2024)
36. SPK, (2021). Yeşil Borçlanma Aracı, Sürdürülebilir Borçlanma Aracı, Yeşil Kira Sertifikası, Sürdürülebilir Kira Sertifikası Rehberi, https://spk.gov.tr/surdurulebilirlik/yesil-borclanma-araci-surdurulebilir-borclanma-araci-yesil-kira-sertifikasi-surdurulebilir-kira-sertifikasi-rehberi-basin-duyurusu, Erişim: 12.12.2024
37. Şimşek, O., ve Tunalı, H. (2022). The Role of Green Financing Practices on Sustainable Development: Türkiye Projection. Journal of Economics and Financial Research, 4(1), 16-45. https://dergipark.org.tr/en/pub/jefr/issue/70978/1126380
38. Toda, H. Y., ve Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.
39. Turguttopbaş, N. (2020). Sürdürülebilirlik, Yeşil Finans ve İlk Türk Yeşil Tahvil İhracı. Finansal Araştırmalar ve Çalışmalar Dergisi, 12(22), 267-283. https://doi.org/10.14784/marufacd.688425 United Nations. Framework Convention on Climate Change. ((UNFCCC, 2015). Adoption of the Paris agreement.
40. World Economic Forum, (WEF), (2024). https://www.weforum.org/stories/2024/11/what-are-green-bonds-climate-change/
41. YMEP, 2021. Ticaret Bakanlığı Yeşil Mutabakat Eylem Planı, https://ticaret.gov.tr/dis-iliskiler/yesil-mutabakat/yesil-mutabakat-eylem-plani-ve-calisma-grubu; Erişim:12.12.2024
42. Zerbid, O. D., (2017). The green bond premium. Available at SSRN: https://ssrn.com/abstract=2889690
43. Zivot, E., ve Andrews, W.K. (1992). Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit root Hypothesis, Journal of Business and Economic Statistics 10(3), 251-270.