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Journals / BDDK Bankacılık ve Finansal Piyasalar Dergisi / 2026 / Cilt: 18 Sayı: 1

Investigating the Relationship between Selected Risk Measures and Sustainability Index

Seçilmiş Risk Ölçütleri ile Sürdürülebilirlik Endeksi Arasındaki İlişkinin Araştırılması

Dilara Demirez(ÇAĞ ÜNİVERSİTESİ)0000-0001-8315-3229
Serkan Yılmaz Kandır(ÇUKUROVA ÜNİVERSİTESİ)0000-0002-7686-1099
Pages
37–59
Publication Date
2024-07-26
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

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.

📌 3 Key Takeaways

🎯
Objective & Hypothesis: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.
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Key Findings & Data:The sample period spans from 01.12.2014 to 01.12.2023.
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Conclusion & Impact: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.
🔬Design:Araştırma Makalesi
📍Scope:2014 Verileri
⚙️Variables:Risk · Sürdürülebilirlik endeksi · ARDL

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.

Özet

Bu çalışmanın amacı, finansal piyasalardaki risk göstergeleri olan VIX, OVX ve GVZ volatilite endeksleri ile Borsa İstanbul Sürdürülebilirlik Endeksi (XUSRD) arasındaki ilişkinin araştırılmasıdır. 01.12.2014-01.12.2023 dönemini kapsayan ve ARDL Sınır Testi ile Toda-Yamamoto Nedensellik Testi kullanılarak yapılan analizlerde, enflasyon ve faiz değişkenleri kontrol değişkenleri olarak kullanılmıştır. Bulgulara göre, OVX ve GVZ ile XUSRD arasında uzun dönemde anlamlı bir ilişki bulunmazken; VIX ile XUSRD arasında uzun dönemde anlamlı bir ilişki tespit edilmiştir. Sonuçlar, VIX'in XUSRD üzerinde negatif etkisi olduğunu ve VIX, OVX, GVZ endekslerinden XUSRD'ye doğru tek yönlü nedensellik ilişkisi bulunduğunu göstermektedir.

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Cite This Article

Demirez, D., Kandır, S. Y. (2024). Investigating the Relationship between Selected Risk Measures and Sustainability Index. BDDK Bankacılık ve Finansal Piyasalar Dergisi, Cilt: 18 Sayı: 1, 37–59. https://doi.org/10.46520/bddkdergisi.1525908

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