The Relationship Between the Indices of Volatility (VIX) and Sustainability (DJSEMUP): An ARDL Approach

Gizem Vergili and Mehmet Sinan Çelik
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Gizem Vergili: Burdur Mehmet Akif Ersoy University
Mehmet Sinan Çelik: Nigde Omer Halisdemir University

Business and Economics Research Journal, 2023, vol. 14, issue 1, 19-29

Abstract: This study aims to determine the cointegration relationship between Dow Jones Sustainability Emerging Markets Index (DJSEMUP) and the VIX Fear Index with monthly series between February 2013 and March 2020. This study, which examines the cointegration relationship between sustainability and volatility index from the perspective of emerging markets, is novel. First, unit root tests are utilized to understand the stationarity of the series. The unit root test results show that the VIX Index and DJSEMUP Index are not stationary at the same level. To this end, the ARDL (Autoregressive Distributed Lag) bounds test, which allows to detection of stationarity relationships at different levels, is applied to examine the cointegration relationship. The results show that there is a long-term relationship between the DJSEMUP Index and the VIX Index with a negative coefficient. As a result, long-term investors of companies included in the DJSEMUP Index can be recommended to invest by considering the VIX Index.

Keywords: Sustainability; Sustainability Index; VIX Index; Stock Market; ARDL Bounds Test (search for similar items in EconPapers)
JEL-codes: C58 G11 Q56 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ris:buecrj:0622

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