KÜRESEL ESG BELİRSİZLİĞİ İLE BIST 100 ARASINDAKİ ASİMETRİK İLİŞKİ

Öz

Bu çalışma, ESG temelli belirsizlik endeksi (ESGUI) ile BIST100 endeksi arasındaki etkileşimi kantil-duyarlı bir çerçevede incelemeyi amaçlamaktadır. Analizde Kasım 2002–Ocak 2016 dönemine ait veriler kullanılmıştır. Değişkenler arasındaki doğrusal olmayan ve durum-bağımlı ilişkileri ortaya koyabilmek amacıyla Quantile-on-Quantile (QQ) bağlılık yaklaşımı uygulanmıştır. Ampirik bulgular, ESGUI ile BIST100 arasındaki ilişkinin homojen olmadığını ve bağlılığın özellikle uç piyasa koşullarında belirgin biçimde güçlendiğini göstermektedir. Net yönlü yayılım sonuçları, ESG temelli belirsizliğin net volatilite yayıcı, BIST100’ün ise net volatilite alıcısı rol üstlendiğini ortaya koymaktadır. Zamana bağlı bağlılık bulguları da bu asimetrik yapıyı desteklemekte ve Türkiye hisse senedi piyasasının küresel ESG belirsizlik şoklarına karşı duyarlı bir yapı sergilediğine işaret etmektedir. Elde edilen sonuçlar, ESG kaynaklı küresel risklerin Türkiye sermaye piyasaları açısından yakından izlenmesi gerektiğini ortaya koymakta ve sürdürülebilir finans politikalarının güçlendirilmesinin piyasa dayanıklılığı açısından önem taşıdığını göstermektedir.

Anahtar Kelimeler

• ESG temelli belirsizlik endeksi
• ESG
• BIST100
• Bağlantılılık

THE ASYMMETRIC RELATIONSHIP BETWEEN GLOBAL ESG UNCERTAINTY AND THE BIST100

Öz

This study aims to examine the interaction between the ESG-based uncertainty index (ESGUI) and the BIST100 index within a quantile-sensitive framework. The analysis uses data covering the period from November 2002 to January 2016. To uncover nonlinear and state-dependent relationships between the variables, the Quantile-on-Quantile (QQ) connectedness approach is employed. The empirical findings reveal that the relationship between ESGUI and BIST100 is not homogeneous and that connectedness strengthens particularly under extreme market conditions. Net directional spillover results indicate that ESG-based uncertainty acts as a net volatility transmitter, whereas the BIST100 predominantly serves as a net volatility receiver. The time-varying connectedness results further support this asymmetric structure and suggest that the Turkish stock market exhibits sensitivity to global ESG uncertainty shocks. Overall, the findings highlight the importance of closely monitoring ESG-driven global risks for Turkish capital markets and underscore the need to strengthen sustainable finance policies to enhance market resilience.

Anahtar Kelimeler

• ESG-based uncertainty index
• ESG
• BIST100
• Connectedness

Kaynakça

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