SavedAdd your journal

Journals / Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty / 2026 / Volume: 13 Issue: 1

Relationship Between Awareness of Environmental Problems and Stock Market Returns: A Study with Fourier Toda-Yamamoto and Wavelet Coherence

Fahrettin Söker(Kahramanmaraş İstiklal Üniversitesi, Türkoğlu Meslek Yüksekokulu)0000-0002-3763-5419
Yaşar Alptürk(Kahramanmaraş Sütçü İmam Üniversitesi Sosyal Bilimler Meslek Yüksekokulu)0000-0003-0063-4479
Pages
—
Publication Date
2026-03-30
🏛️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)

In addition, the results show that the relationships driven by sustainability indices are not sufficient, providing an important inference to policymakers about the need for more effective information sharing to attract public attention in the process of increasing environmental awareness through sustainability indices.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study examines the relationship between awareness of environmental problems and stock market returns in Türkiye, taking into account the potential of sustainability indices to raise environmental awareness among the public.
📊
Key Findings & Data:In this context, Google search volume index data were used for the awareness of environmental problems and the relationship between these data and the returns of XUSRD, XSD25 and XSRDK indices was examined using the Fourier Toda-Yamamoto (FTY) causality test and Wavelet Coherence (WTC) analysis.
💡
Conclusion & Impact:In addition, the results show that the relationships driven by sustainability indices are not sufficient, providing an important inference to policymakers about the need for more effective information sharing to attract public attention in the process of increasing environmental awareness through sustainability indices.
🔬Design:Research Article
📍Scope:2022 Verileri
⚙️Variables:Environmental Problems · Sustainability · Fourier Toda-Yamamoto Causality Test

Abstract

This study examines the relationship between awareness of environmental problems and stock market returns in Türkiye, taking into account the potential of sustainability indices to raise environmental awareness among the public. In this context, Google search volume index data were used for the awareness of environmental problems and the relationship between these data and the returns of XUSRD, XSD25 and XSRDK indices was examined using the Fourier Toda-Yamamoto (FTY) causality test and Wavelet Coherence (WTC) analysis. In the analyses made with weekly data between 25.11.2022-31.01.2025, as a result of the FTY test, no causal relationship was generally determined between the awareness of environmental problems and the index returns, but as a result of the WTC analysis, relationships were determined in the short term, in different periods and date ranges, mostly led by awareness of environmental problems. The analysis results contribute to investors by showing that awareness of environmental problems in Türkiye can affect stock market returns over specific date ranges in the short term. In addition, the results show that the relationships driven by sustainability indices are not sufficient, providing an important inference to policymakers about the need for more effective information sharing to attract public attention in the process of increasing environmental awareness through sustainability indices.

🔖

Cite This Article

Söker, F., Alptürk, Y. (2026). Relationship Between Awareness of Environmental Problems and Stock Market Returns: A Study with Fourier Toda-Yamamoto and Wavelet Coherence. Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty, Volume: 13 Issue: 1. https://doi.org/10.30798/makuiibf.1698142

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (51)

  1. Adediran, I. A., Bewaji, P. N., & Oyadeyi, O. O. (2024). Climate risk and stock markets: Implications for market efficiency and return predictability. Emerging Markets Finance and Trade, 60(9), 1908-1928. https://doi.org/10.1080/1540496X.2023.2298251
  2. Ardia, D., Bluteau, K., Boudt, K., & Inghelbrechtd, K. (2023). climate change concerns and the performance of green vs. brown stocks. Management Science, 69(12), 7607-7632. https://doi.org/10.1287/mnsc.2022.4636
  3. Ay, H. M., Söylemez, A., & Güneş Ay, N. (2023). The importance of green bonds in financing the sustainable environment. Paradigma: İktisadi ve İdari Araştırmalar Dergisi, 12(2), 72-79.
  4. Becker, R., Enders, W., & Lee, J. (2006). Stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381–409. https://doi.org/10.1111/j.1467-9892.2006.00478.x
  5. Berry, H. L., Bowen, K., & Kjellstrom, T. (2010). Climate change and mental health: A causal pathways framework. International Journal of Public Health, 55(2), 123-132. https://doi.org/10.1007/s00038-009-0112-0
  6. Bessec, M., & Fouquau, J. (2022). Green attention in financial markets: A global warning. Annals of Economics and Statistics, 148, 29-64. https://doi.org/10.2307/48706309
  7. Borsa İstanbul (n.d.). Sürdürülebilirlik. https://www.borsaistanbul.com/endeksler/bist-pay/surdurulebilirlik
  8. Braithwaite, I., Zhang, S., Kirkbride, J. B., Osborn, D. P. J., & Hayes, J. F. (2019). Air pollution (particulate matter) exposure and associations with depression, anxiety, bipolar, psychosis and suicide risk: A systematic review and meta-analysis. Environmental health perspectives, 127(12), 1-23. https://doi.org/10.1289/EHP4595
  9. Chen, Y., Mamona, R., Spagnolo, F., & Spagnolo, N. (2025). Stock market returns and climate risk in the U.S. Journal of Multinational Financial Management, 77, 1-20. https://doi.org/10.1016/j.mulfin.2024.100887
  10. Chin, M.-Y., Ong, S.-L., Ooi, D. B.-Y., & Puah, C.-H. (2024). The impact of green finance on environmental degradation in BRI region. Environment, Development and Sustainability, 26, 303-318. https://doi.org/10.1007/s10668-022-02709-5
  11. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431. https://doi.org/10.2307/2286348
  12. DiMaggio, P. J., & Powell, W. W. (1983). The iron cage revisited: Institutional isomorphism and collective rationality in organizational fields. American Sociological Review, 48, 147-160.
  13. El Ouadghiri, I., Guesmi, K., Peillex, J., & Ziegler, A. (2021). Public attention to environmental issues and stock market returns. Ecological Economics, 180, 1-15. https://doi.org/10.1016/j.ecolecon.2020.106836
  14. El Ouadghiri, I., Kaabi, O., Peillex, J., Platania, F., & Hernandez, C. T. (2025). Attention to biodiversity and stock returns. International Review of Financial Analysis, 97, 1-9. https://doi.org/10.1016/j.irfa.2024.103855
  15. Enders, W., & Lee, J. (2012). The flexible Fourier form and Dickey-Fuller type unit root tests. Economics Letters, 117(1), 196-199. https://doi.org/10.1016/j.econlet.2012.04.081
  16. Gençay, R., Selçuk, F., & Whitcher, B. (2005). Multiscale systematic risk. Journal of International Money and Finance, 24(1), 55-70. https://doi.org/10.1016/j.jimonfin.2004.10.003
  17. Grinsted, A., Moore, J. C., & Jevrejeva. S. (2004). Application of the cross wavelet transform and wavelet coherence to geophysical time series. Nonlinear Processes in Geophysics, 11(5/6), 561-566.
  18. Guo, L., Han, X., & Li, Y. (2023). The smog that hovers: Air pollution and asset prices. Finance Research Letters, 53, 1-10. https://doi.org/10.1016/j.frl.2023.103633
  19. Guo, M., Kuai, Y., & Liu, X. (2020). Stock market response to environmental policies: Evidence from heavily polluting firms in China. Economic Modelling, 86, 306-316. https://doi.org/10.1016/j.econmod.2019.09.028
  20. Hildinger, M. (2022). Can climate sentiment predict stock returns? An investigation of the UK stock market [Unpublished Master’s Thesis]. Hanken School of Economics.
  21. Hirshleifer, D. & Teoh, S. H. (2003). Limited attention, information disclosure, and financial reporting. Journal of Accounting and Economics, 36(1-3), 337-386. https://doi.org/10.1016/j.jacceco.2003.10.002
  22. Jarque, C. M., & Bera, A. K. (1987). A test for normality of observations and regression residuals. International Statistical Review, 55(2), 163-172. https://doi.org/10.2307/1403192
  23. Jia, S., Liu, Y., & Jin, J. (2023). Can climate change attention predict energy stock returns?. Environmental Science and Pollution Research, 30, 89253-89269. https://doi.org/10.1007/s11356-023-28731-2
  24. Kangallı Uyar, S. G. (2021). Uluslararası döviz piyasalarında finansal bulaşıcılık ve karşılıklı bağımlılık: Wavelet uyum analizi. Finans Politik & Ekonomik Yorumlar, (656), 115-147.
  25. Koncak, A., & Nazlıoğlu, E. H. (2024). Küresel belirsizlikler ve Türkiye pay senedi piyasası arasındaki ilişki: Dalgacık uyum analizinden kanıtlar. Maliye Dergisi, (186), 251-274.
  26. Korlu, Ö. (2022). The impact of the sustainability index on the sustainability practices at the Borsa Istanbul Stock Exchange [Unpublished master’s thesis]. MEF University.
  27. Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54(1–3), 159-178. https://doi.org/10.1016/0304-4076(92)90104-Y
  28. Ma, F., Wu, H., & Zeng, Q. (2024). Biodiversity and stock returns. International Review of Financial Analysis, 95(Part A), 1-14. https://doi.org/10.1016/j.irfa.2024.103386
  29. Manisalidis, I., Stavropoulou, E., Stavropoulos, A., & Bezirtzoglou, E. (2020). Environmental and health impacts of air pollution: A review. Frontiers in Public Health, 8(14), 1-13. https://doi.org/10.3389/fpubh.2020.00014
  30. Nazlıoğlu, S. (2021). TSPDLIB: GAUSS time series and panel data methods (Version 2.0). Source code. GitHub. https://github.com/aptech/tspdlib
  31. Nazlıoğlu, S., Görmüş, A., & Soytaş, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-Shift causality and volatility transmission analysis. Energy Economics, 60, 168-175. http://dx.doi.org/10.1016/j.eneco.2016.09.009
  32. Nazlıoğlu, S., Görmüş, A., & Soytaş, U. (2019). Oil prices and monetary policy in emerging markets: Structural shifts in causal linkages. Emerging Markets Finance and Trade, 55(1), 105-117. https://doi.org/10.1080/1540496X.2018.1434072
  33. Peng, L., & Xiong, W. (2006). Investor attention, overconfidence and category learning. Journal of Financial Economics, 80(3), 563-602. https://doi.org/10.1016/j.jfineco.2005.05.003
  34. Piñeiro-Chousa, J., López-Cabarcos, M.Á., & Ribeiro-Soriano, D. (2020). Does investor attention influence water companies’ stock returns? Technological Forecasting & Social Change, 158, 1-10. https://doi.org/10.1016/j.techfore.2020.120115
  35. Ramos, S. B., Latoeiro, P., & Veiga, H. (2020). Limited attention, salience of information and stock market activity. Economic Modelling, 87, 92-108. https://doi.org/10.1016/j.econmod.2019.07.010
  36. Rudkin, W., & Cai, C. X. (2023). Information content of sustainability index recomposition: A synthetic portfolio approach. International Review of Financial Analysis, 88, 102676. https://doi.org/10.1016/j.irfa.2023.102676
  37. Santi, C. (2023). Investor climate sentiment and financial markets. International Review of Financial Analysis, 86, 1-18. https://doi.org/10.1016/j.irfa.2023.102490
  38. Singh, A., & Chakraborty, M. (2024). Air pollution and stock market returns: actual effect vs public attention in an Indian context. Review of Behavioral Finance, 16(4), 733-753. https://doi.org/10.1108/rbf-09-2023-0252
  39. Sun, H., Tariq, G., Youn, I. J., & Mansoor, S. (2022). Impacts of green energy finance on eco-friendly environments. Resources Policy, 79, 1-9. https://doi.org/10.1016/j.resourpol.2022.103135
  40. Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregression with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8
  41. Torrence, C., & Compo, G. P. (1998). A practical guide to wavelet analysis. Bulletin of the American Meteorological Society, 79(1), 61-78. https://doi.org/10.1175/1520-0477(1998)079 2.0.CO;2
  42. Torrence, C., & Webster, P. J. (1999). Interdecadal changes in the ENSO–Monsoon system. Journal of Climate, 12(8), 2679-2690. https://doi.org/10.1175/1520-0442(1999)012 2.0.CO;2
  43. Uyar, U. (2019). Sistematik risk davranışında yatırım döngüsü: Wavelet analizi. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 37(1), 135-168. https://doi.org/10.17065/huniibf.347775
  44. Vacha, L., & Barunik, J. (2012). Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. Energy Economics, 34(1), 241-247. http://doi.org/10.1016/j.eneco.2011.10.007
  45. Wang, G., Wang, Y., Dong, Y., & Shen, X. (2024). Media attention for carbon neutrality, investor sentiment, and excess stock returns: Evidence from mass media and social media. Computational Economics. https://doi.org/10.1007/s10614-024-10739-6
  46. Wang, G., Yu, G., & Shen, X. (2021). The effect of online environmental news on green industry stocks: The mediating role of investor sentiment. Physica A: Statistical Mechanics and its Applications, 573, 1-14. https://doi.org/10.1016/j.physa.2021.125979
  47. Wang, X. (2017). Environmental sentiment and stock performance in the U.S. energy sector [Unpublished Master’s Thesis]. Tufts University.
  48. Wu, G., Liu, X., & Cai, Y. (2024). The impact of green finance on carbon emission efficiency. Heliyon, 10, 1-18. https://doi.org/10.1016/j.heliyon.2023.e23803
  49. Wu, R., & Liu, B.-Y. (2023). Do climate policy uncertainty and investor sentiment drive the dynamic spillovers among green finance markets? Journal of Environmental Management, 347, 1-13. https://doi.org/10.1016/j.jenvman.2023.119008
  50. Zhang, S. Y. (2022). Are investors sensitive to climate-related transition and physical risks? Evidence from global stock markets. Research in International Business and Finance, 62, 1-23. https://doi.org/10.1016/j.ribaf.2022.101710
  51. Zhou, C., Chen, Y., Ji, Q., & Zhang, D. (2025). Does public attention to biodiversity matter to stock markets? International Review of Financial Analysis, 98, 1-17. https://doi.org/10.1016/j.irfa.2025.103925