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Journals / Fiscaoeconomia / 2026 / Volume: 10 Issue: 3

Regime-Dependent Systematic Risk of Sustainability-Oriented Investments: Evidence from Borsa Istanbul

Sürdürülebilirlik Odaklı Yatırımların Rejime Bağlı Sistematik Riski: Borsa İstanbul'dan Bulgular

Tutku Ünkaracalar(KIRKLARELİ ÜNİVERSİTESİ)0000-0002-6584-8681
Pages
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Publication Date
2026-10-15
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AI Summary & Key Takeaways

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

The study complements recent regime-switching evidence from Borsa Istanbul by emphasising dynamic portfolio membership, portfolio-construction sensitivity, and a more conservative interpretation of sustainability-related risk dynamics.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study examines whether the systematic-risk exposure of sustainability-oriented investments varies across market states in Borsa Istanbul.
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Key Findings & Data:Rather than treating sustainability as an unconditional source of superior performance or financial resilience, the analysis focuses on the regime dependence of market sensitivity.
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Conclusion & Impact:The study complements recent regime-switching evidence from Borsa Istanbul by emphasising dynamic portfolio membership, portfolio-construction sensitivity, and a more conservative interpretation of sustainability-related risk dynamics.
🔬Design:Modeling & Simulation
📍Scope:2015 Verileri
⚙️Variables:Sustainable Finance · ESG Investing · Systematic Risk

Abstract

This study examines whether the systematic-risk exposure of sustainability-oriented investments varies across market states in Borsa Istanbul. Rather than treating sustainability as an unconditional source of superior performance or financial resilience, the analysis focuses on the regime dependence of market sensitivity. A two-state Markov Regime-Switching Model combined with a Regime-Switching Capital Asset Pricing Model (CAPM) is applied to an equally weighted, dynamically updated sustainability-oriented portfolio over January 2015–December 2025. Portfolio and market returns are expressed as U.S. dollar-denominated excess returns. The results identify two persistent market states with markedly different volatility characteristics. The sustainability-oriented portfolio exhibits a beta of 0.81 in the low-volatility regime and 1.18 in the high-volatility regime, corresponding to a point-estimate increase of 0.37. The high-volatility state is also characterised by negative average excess returns and a return variance 8.5 times that of the low-volatility state. These findings provide evidence that the systematic-risk exposure of sustainability-oriented investments is strongly regime-dependent. However, because portfolio composition and other firm characteristics cannot be fully separated from sustainability status, the findings are interpreted as regime-dependent associations rather than as evidence of a causal sustainability-induced resilience effect. The study complements recent regime-switching evidence from Borsa Istanbul by emphasising dynamic portfolio membership, portfolio-construction sensitivity, and a more conservative interpretation of sustainability-related risk dynamics.

Özet

Bu çalışma, Borsa İstanbul'da sürdürülebilirlik odaklı yatırımların sistematik risk düzeyinin farklı piyasa rejimlerinde değişip değişmediğini incelemektedir. Sürdürülebilirliği koşulsuz biçimde üstün performans veya finansal dayanıklılık sağlayan bir unsur olarak ele almak yerine, analiz piyasa duyarlılığının rejime bağlı yapısına odaklanmaktadır. Ocak 2015-Aralık 2025 dönemi için eşit ağırlıklı ve üyeliği dinamik olarak güncellenen sürdürülebilirlik odaklı bir portföye iki durumlu Markov Rejim Değişim Modeli ile Rejim Değişimli Sermaye Varlıklarını Fiyatlama Modeli (CAPM) uygulanmıştır. Portföy ve piyasa getirileri ABD doları cinsinden aşırı getiriler olarak hesaplanmıştır. Bulgular, volatilite özellikleri belirgin biçimde farklılaşan ve yüksek kalıcılık gösteren iki piyasa durumuna işaret etmektedir. Sürdürülebilirlik odaklı portföyün betası düşük volatilite rejiminde 0,81, yüksek volatilite rejiminde ise 1,18 olarak tahmin edilmiş; böylece beta katsayısında 0,37'lik bir artış gözlenmiştir. Ayrıca yüksek volatilite durumunda ortalama aşırı getiri negatif olup, getiri varyansı düşük volatilite durumunun 8,5 katıdır. Bulgular, sürdürülebilirlik odaklı yatırımların sistematik riskinin piyasa koşullarına güçlü biçimde bağlı olduğunu göstermektedir. Bununla birlikte, portföy bileşimi ve diğer firma özellikleri sürdürülebilirlik statüsünden bütünüyle ayrıştırılamadığından sonuçlar, sürdürülebilirliğin nedensel bir finansal dayanıklılık etkisinin kanıtı olarak değil, rejime bağlı bir ilişki olarak yorumlanmaktadır.

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Cite This Article

Ünkaracalar, T. (2026). Regime-Dependent Systematic Risk of Sustainability-Oriented Investments: Evidence from Borsa Istanbul. Fiscaoeconomia, Volume: 10 Issue: 3. https://doi.org/10.25295/fsecon.1999146

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