Investigating the Relationship between Selected Risk Measures and Sustainability Index

Dilara Demirez and Serkan Yilmaz Kandir

Journal of BRSA Banking and Financial Markets, 2024, vol. 18, issue 1, 37-59

Abstract: The aim of this study is to investigate the relationship between the Borsa Istanbul Sustainability Index (XUSRD) and financial market risk indicators, namely the VIX, OVX, and GVZ volatility indices. The sample period spans from 01.12.2014 to 01.12.2023. We employ the ARDL Bounds Test and the Toda-Yamamoto Causality Test, using inflation and interest rate as control variables. The empirical findings reveal that while OVX and GVZ do not have a significant long-term relationship with XUSRD, there is a significant long-term relationship between VIX and XUSRD. The results indicate that VIX has a negative impact on XUSRD and there is a unidirectional causality relationship from VIX, OVX, and GVZ indices to XUSRD.

Keywords: Risk; Sustainability Index; ARDL; Toda-Yamamoto (search for similar items in EconPapers)
JEL-codes: C32 G10 G11 Q56 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:bdd:journl:v:18:y:2024:i:1:p:37-59

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