Does the Stock Market Value Inclusion in a Sustainability Index? Evidence from Borsa Istanbul

Mustafa K. Yilmaz, Mine Aksoy and Ekrem Tatoglu
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Mustafa K. Yilmaz: School of Business, Ibn Haldun University, Ulubatli Hasan Cad., No: 2 Basaksehir, 34494 Istanbul, Turkey
Mine Aksoy: Faculty of Economics and Administrative Sciences, Yalova University, Yalova Üniversitesi Merkez Yerleşkesi, Çınarcık Yolu Üzeri, 77200 Yalova, Turkey
Ekrem Tatoglu: School of Business, Ibn Haldun University, Ulubatli Hasan Cad., No: 2 Basaksehir, 34494 Istanbul, Turkey

Sustainability, 2020, vol. 12, issue 2, 1-22

Abstract: This study examines the relationships between corporate sustainability (CS) performance of the companies (proxied by inclusion in sustainability index) listed in Borsa Istanbul (BIST, Istanbul, Turkey) and market-specific company performance measures over the period of 2014–2017. The results show that there is no strong evidence of the effect of inclusion in or exclusion from the BIST Sustainability Index (BIST SI) on stock returns and systematic risk (betas) of companies. However, the results reveal that inclusion in the BIST SI reduces the total risk of the companies and protects them from stock declines in case of a severe crisis by improving their resilience compared to other companies not included in the BIST SI. Although no significant link is found concerning the impact of the companies’ inclusion on the level of foreign ownership, a positive association is noted between BIST SI inclusion and the level of institutional ownership.

Keywords: corporate sustainability performance; sustainability index; stakeholder theory; market reaction; Turkey (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:12:y:2020:i:2:p:483-:d:306569

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