SavedAdd your journal

Journals / TIDE AcademIA Research / 2026 / Cilt: 3 Sayı: 1

Sustainability Performance and Abnormal Stock Returns During the COVID-19 crises

COVID-19 KRİZİNDE SÜRDÜREBİLİRLİK PERFORMANSI VE ANORMAL PAY GETİRİSİ

Emrah Keleş(MARMARA ÜNİVERSİTESİ, İŞLETME FAKÜLTESİ)0000-0003-3840-277X
Pages
83–102
Publication Date
2021-07-31
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

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

The results show that firms included in the BIST Sustainability Index experience fewer loss comparing to the excluded ones, suggesting that investors value firms' sustainability performance during the crisis outbreak period.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study examines the effect of sustainability performance on financial performance.
📊
Key Findings & Data:Three critical days -first case, first measures, first death- during the Covid-19 crisis are considered and investigated.
💡
Conclusion & Impact:The results show that firms included in the BIST Sustainability Index experience fewer loss comparing to the excluded ones, suggesting that investors value firms' sustainability performance during the crisis outbreak period.
🔬Design:Araştırma Makalesi
📍Scope:Comprehensive Sample
⚙️Variables:Covid-19 · sürdürebilirlik · anormal pay getirileri

Abstract

This study examines the effect of sustainability performance on financial performance. Specifically, this paper focuses on firms included and excluded in the Istanbul Stock Exchange BIST Sustainability Index. The event study methodology is applied to compare the abnormal stock returns for these firms. Three critical days -first case, first measures, first death- during the Covid-19 crisis are considered and investigated. The results show that firms included in the BIST Sustainability Index experience fewer loss comparing to the excluded ones, suggesting that investors value firms' sustainability performance during the crisis outbreak period.

Özet

Bu çalışmada sürdürebilirlik performansının finansal performans üzerine etkisi araştırılmaktadır. Çalışmada BIST Sürdürebilirlik Endeksine dahil olan ve olmayan firmalara odaklanılmaktadır. Bu firmaların anormal pay getirilerinin karşılaştırılması için olay çalışması yönteminden yararlanılmıştır. Çalışma kapsamında Covid-19 krizinde önemli tarihler – ilk vaka, ilk tedbirler ve ilk ölüm – dikkate alınmış ve incelenmiştir. Çalışma sonuçları BIST Sürdürebilirlik endeksine dahil olan firmaların kayıplarının olmayanlara göre daha az olduğunu göstermektedir. Bu da krizin ortaya çıkış dönemi sırasında yatırımcıların firmaların sürdürebilirlik performanslarını dikkate aldığını ortaya koymaktadır.

🔖

Cite This Article

Keleş, E. (2021). Sustainability Performance and Abnormal Stock Returns During the COVID-19 crises. TIDE AcademIA Research, Cilt: 3 Sayı: 1, 83–102. https://ajindex.com/articles/1602031

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (32)

  1. Albuquerque, R., Koskinen, Y., Yang, S., & Zhang, C. (2020). Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash. The Review of Corporate Finance Studies, 9(3), 593–621. https://doi.org/10.1093/rcfs/cfaa011
  2. Alfaro, L., Chari, A., Greenland, A. N., & Schott, P. K. (2020). Aggregate and firm-level stock returns during pandemics, in real time. National Bureau of Economic Research.
  3. Brown, S. J., & Warner, J. B. (1980). Measuring security price performance. Journal of Financial Economics, 8(3), 205–258. https://doi.org/https://doi.org/10.1016/0304-405X(80)90002-1
  4. Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of Financial Economics, 14(1), 3–31. https://doi.org/https://doi.org/10.1016/0304-405X(85)90042-X
  5. Corrado, C. J. (1989). A nonparametric test for abnormal security-price performance in event studies. Journal of Financial Economics, 23(2), 385–395. https://doi.org/https://doi.org/10.1016/0304-405X(89)90064-0
  6. Dayong Zhang, Min Hu, Q. J. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, (January).
  7. Ding, W., Levine, R., Lin, C., & Xie, W. (2020). Corporate immunity to the COVID-19 pandemic. National Bureau of Economic Research.
  8. Fahlenbrach, R., Rageth, K., & Stulz, R. M. (2020). How valuable is financial flexibility when revenue stops? Evidence from the COVID-19 crisis. National Bureau of Economic Research.
  9. Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383–417. https://doi.org/https://doi.org/10.1111/j.1540-6261.1970.tb00518.
  10. Flammer, C. (2013). Corporate Social Responsibility and Shareholder Reaction: The Environmental Awareness of Investors. Academy of Management Journal, 56(3), 758–781. https://doi.org/10.5465/amj.2011.0744
  11. Godfrey, P. C. (2005). The Relationship Between Corporate Philanthropy And Shareholder Wealth: A Risk Management Perspective. Academy of Management Review, 30(4), 777–798. https://doi.org/10.5465/amr.2005.18378878
  12. Godfrey, P. C., Merrill, C. B., & Hansen, J. M. (2009). The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis. Strategic Management Journal, 30(4), 425–445. https://doi.org/https://doi.org/10.1002/smj.750
  13. Greenwald, B. C., & Stiglitz, J. E. (1990). Asymmetric information and the new theory of the firm: Financial constraints and risk behavior. National Bureau of Economic Research.
  14. Hawn, O., Chatterji, A. K., & Mitchell, W. (2018). Do investors actually value sustainability? New evidence from investor reactions to the Dow Jones Sustainability Index (DJSI). Strategic Management Journal, 39(4), 949–976. https://doi.org/https://doi.org/10.1002/smj.2752
  15. Heinkel, R., Kraus, A., & Zechner, J. (2001). The Effect of Green Investment on Corporate Behavior. The Journal of Financial and Quantitative Analysis, 36(4), 431–449. https://doi.org/10.2307/2676219
  16. Heyden, K. J., & Heyden, T. (2021). Market reactions to the arrival and containment of COVID-19: An event study. Finance Research Letters, 38, 101745. https://doi.org/https://doi.org/10.1016/j.frl.2020.101745
  17. Keleş, E. (2020). COVID-19 ve BİST-30 Endeksi Üzerine Kisa Dönemli Etkileri. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 42(1), 91–105.
  18. Krüger, P. (2015). Corporate goodness and shareholder wealth. Journal of Financial Economics, 115(2), 304–329. https://doi.org/https://doi.org/10.1016/j.jfineco.2014.09.008
  19. Lins, K. V., Servaes, H., & Tamayo, A. (2017). Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis. Journal of Finance, 72(4). https://doi.org/10.1111/jofi.12505
  20. MacKinlay, A. C. (1997). Event Studies in Economics and Finance. Journal of Economic Literature, 35(1), 13–39.
  21. Pakel, C., & Özen, K. (n.d.). Daily Volatility Analysis of BIST 100 Constituents Between 2018-2020. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 42(2), 340–360.
  22. Pástor, Ľ., & Vorsatz, M. B. (2020). Mutual fund performance and flows during the COVID-19 crisis. The Review of Asset Pricing Studies, 10(4), 791–833.
  23. Patell, J. M. (1976). Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test. Journal of Accounting Research, 14(2), 246–276. https://doi.org/10.2307/2490543
  24. Ramchander, S., Schwebach, R. G., & Staking, K. I. M. (2012). The informational relevance of corporate social responsibility: evidence from DS400 index reconstitutions. Strategic Management Journal, 33(3), 303–314. https://doi.org/https://doi.org/10.1002/smj.952
  25. Ramelli, S., & Wagner, A. F. (2020). Feverish Stock Price Reactions to COVID-19*. The Review of Corporate Finance Studies, 9(3), 622–655. https://doi.org/10.1093/rcfs/cfaa012
  26. Shiu, Y.-M., & Yang, S.-L. (2017). Does engagement in corporate social responsibility provide strategic insurance-like effects? Strategic Management Journal, 38(2), 455–470. https://doi.org/https://doi.org/10.1002/smj.2494
  27. Tan, Ö. F. (2021). The Impact of News about Pandemic on Borsa Istanbul during the COVID-19 Financial Turmoil. Türkiye İletişim Araştırmaları Dergisi, (37), 1.
  28. Yilmaz, M. K., Aksoy, M., & Tatoglu, E. (2020). Does the Stock Market Value Inclusion in a Sustainability Index? Evidence from Borsa Istanbul. Sustainability, Vol. 12. https://doi.org/10.3390/su12020483
  29. Zechner, J., Pagano, M., & Wagner, C. (2020). Disaster resilience and asset prices.
  30. Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 101528. https://doi.org/https://doi.org/10.1016/j.frl.2020.101528
  31. Dayong Zhang, Min Hu, Q. J. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, (January).
  32. Yilmaz, M. K., Aksoy, M., & Tatoglu, E. (2020). Does the Stock Market Value Inclusion in a Sustainability Index? Evidence from Borsa Istanbul. Sustainability, Vol. 12. https://doi.org/10.3390/su12020483