Sustainability Indices in the Financial Markets, Performance and Intraday Volatility Analysis: The Case of Turkey

Purpose – In the financial markets, especially the institutional investors' interest in funds and portfolios composed of sustainable companies accelerated the formation of sustainability indices. In this context, this study aims to examine the sustainability indices in financial markets and compare the performance of Borsa İstanbul Sustainability Index (XUSRD) with benchmark indices. In this study, unlike other studies in the literature, not only return performance and risk, but also intraday volatility were analyzed. Design/methodology/approach – The research period is between November 4, 2014 and October 31, 2018. The performance of the XUSRD was compared with market indices (XU100, XUTUM and XTUMY) and the Corporate Governance Index (XKURY). Average daily return of indices were used for return performance. Risk factor was analyzed on models established according to CAPM. Intraday volatility was calculated following to the method proposed by Parkinson (1980) and adapted by Corrado and Truong (2007). Findings – Research findings show that average daily return of XUSRD index is not different from market indices and XKURY index. However, when intraday volatility is examined, it was found that XUSRD was more volatile than the market indices XUTUM and XTUMY. In the three regression models established according to CAPM, Jensen α values were not significant, however, β values of XUSRD were found to be higher than 1 and statistically significant. Discussion – Borsa İstanbul Sustainability Index does not provide an advantage to investors in terms of return, risk and volatility. The results can be interpreted that the concept of socially responsible investment is not adequately settled in Turkey

___

Ang, W. R. (2015). Sustainable investment in Korea does not catch a cold when the United States sneezes. Journal of Sustainable Finance & Investment, 5(1-2) , 16-26.

Ang, W. R., & Weber, O. (2018). The market efficiency of socially responsible investment in Korea. Journal of Global Responsibility, 9(1) , 96-110.

Belghitar, Y., Clark, E., & Deshmukh, N. (2014). Does it pay to be ethical? Evidence from the FTSE4Good. Journal of Banking & Finance, 47 , 54-62.

Benson, C. C., Gupta, N. J., & Mateti, R. S. (2010). Does Risk Reduction Mitigate the Costs of Going Green? An Empirical Study of Sustainable Investing. Southern Journal of Business and Ethics, 2 , 7-25.

BİST. (2014). Şirketler İçin Sürdürülebilirlik Rehberi. Retrieved from https://www.borsaistanbul.com/data/kilavuzlar/surdurulebilirlik-rehberi.pdf

BİST. (2015). BIST Sustainable Index Research Methodology. Retrieved from https://www.borsaistanbul.com/en/indices/bist-stock-indices/bist-sustainability-index

BİST. (2017). BIST Sürdürülebilirlik Endeksi Temel Kuralları. Retrieved from http://www.borsaistanbul.com/docs/default-source/endeksler/bist-sustainability-index-groundrules.pdf?sfvrsn=8

BİST. (2019a). BİST Sürdürülebilirlik Endeksi. Retrieved from https://www.borsaistanbul.com/endeksler/bistpay-endeksleri/surdurulebilirlik-endeksi BIST. (2019b). Borsa Istanbul. Retrieved from http://www.borsaistanbul.com/en

Cavalcante, L. R., Bruni, A. L., & Costa, F. J. (2007). Sustentabilidade Empresarial e Desempenho Corporativo: Uma Análise do Mercado Brasileiro de Ações. XXXI Encontro da ANPAD. Rio de Janeiro .

Consolandi, C., Jaiswal-Dale, A., Poggiani, E., & Vercelli, A. (2009). Global Standards and Ethical Stock Indexes: The Case of the Dow Jones Sustainability Stoxx Index. Journal of Business Ethics, Vol.87 , 185- 197.

Corrado, C., & Truong, C. (2007). Forecasting stock index volatility: Comparing implied volatility and the intraday high-low price range. The Journal of Financial Research, 30(2) , 201-215.

Cunha, F. A., & Samanez, C. P. (2013). Performance Analysis of Sustainable Investments in the Brazilian Stock Market: A Study About the Corporate Sustainability Index (ISE). Journal of Business Ethics, 117(1) , 19- 36.

Çıtak, L., & Ersoy, E. (2016). Firmaların BIST Sürdürülebilirlik Endeksine Alınmasına Yatırımcı Tepkisi:Olay Çalışması Ve Ortalama Testleri İle Bir Analiz. Uluslararası Alanya İşletme Fakültesi Dergisi, 8(1) , 43-57.

DiBartolomeo, D., & Kurtz, L. (1999). Managing Risk Exposures of Socially Screened Portfolios. Retrieved from https://www.northinfo.com/documents/63.pdf

Docekalová, M. P., & Kocmanová, A. (2016). Composite indicator for measuring corporate sustainability. Ecological Indicators, Vol. 61 , 612-623.

FTSE. (2019). FTSE4Good Index Series. Retrieved from https://www.ftse.com/products/indices/ftse4good Garz, H., Volk, C., & Gilles, M. (2002). More Gain than Pain — SRI: Sustainability Pays Off. WestLB Panmure.

Gök, İ. Y., & Özdemir, O. (2017). Borsa İstanbul Sürdürülebilirlik Endeksinin Performans Karakteristiği. Sosyoekonomi, 25(34) , 87-105.

Lassala, C., Apetrei, A., & Sapena, J. (2017). Sustainability Matter and Financial Performance of Companies. Sustainability 9(9):1498 , 1-16.

Lopez, M. V., Garcia, A., & Rodriguez, L. (2007). Sustainable Development and Corporate Performance: A Study Based on the Dow Jones Sustainability Index. Journal of Business Ethics, 75 , 285-300.

Machado, M. R., Machado, M. A., & Corrar, L. J. (2009). Desempenho do índice de sustentabilidade empresarial (ISE) da Bolsa de Valores de São Paulo. Revista Universo Contábil, 5(2) , 24-38.

Orsato, R. J., Garcia, A., Mendes-Da-Silva, W., Simonetti, R., & Monzoni, M. (2015). Sustainability indexes: why join in? A study of the ‘ Corporate Sustainability Index (ISE)’ in Brazil. Journal of Cleaner Production, 96 , 161-170.

Ortas, E., Moneva, J. M., & Salvador, M. (2010). Conditional volatility in sustainable and traditional stock exchange indexes:analysis of the Spanish market. Journal of Globalization, Competitiveness & Governability, 4(2) , 104-129.

Parkinson, M. (1980). The Extreme Value Method for Estimating the Variance of the Rate of Return. The Journal of Business, 53(1), 61-65.

Rezende, I. A., Nunes, J. G., & Portela, S. S. (2007). Um estudo sobre o desempenho financeiro do índice Bovespa de sustentabilidade empresarial. Revista de Educação e Pesquisa em Contabilidade, 2(4) , 93-122.

RobecoSAM. (2018). DJSI index family. Retrieved from https://www.sustainability-indices.com/index-familyoverview/djsi-index-family.html

Sauer, D. A. (1997). The impact of social-responsibility screens on investment performance: Evidence from the Domini 400 social index and Domini Equity Mutual Fund. Review of Financial Economics, 6(2) , 137-149.

Schröder, M. (2007). Is there a Difference? The Performance Characteristics of SRI Equity Indices. Journal of Business Finance & Accounting, 34(1) , 331-348.

Siew, R. Y. (2015). A review of corporate sustainability reporting tools (SRTs). Journal of Environmental Management, 164 , 180-195.

Statman, M. (2000). Socially Responsible Mutual Funds. Financial Analysts Journal 56(3) , 30-39.

Sudha, S. (2015). Risk-return and Volatility analysis of Sustainability Index in India. Environ Dev Sustain, 17 , 1329-1342.

TCMB. (2019). TCMB Faiz Oranları (%) Gecelik (O/N). Retrieved from http://www.tcmb.gov.tr/wps/wcm/connect/TR/TCMB+TR/Main+Menu/Temel+Faaliyetler/Para+Politik asi/Merkez+Bankasi+Faiz+Oranlari/faiz-oranlari

Vasal, V. K. (2009). Corporate Social Responsibility & Shareholder Returns - Evidence from the Indian Capital Market. Indian Journal of Industrial Relations, 44(3) , 376-385.

WCED. (1987). Our Common Future: Report of the World Commission on Environment and Development. Oxford: Oxford University Press.
İşletme Araştırmaları Dergisi-Cover
  • ISSN: 1309-0712
  • Yayın Aralığı: Yılda 4 Sayı
  • Başlangıç: 2009
  • Yayıncı: Melih Topaloğlu
Sayıdaki Diğer Makaleler

Kişisel Satışta Sosyal Sermayenin Müşteri İlişkilerine Etkisi Üzerine Bir Araştırma

Zafer EROL, YASİN BOYLU

Hizmetkâr Liderliğin Örgütsel Özdeşleşmeye Etkisinde Örgütsel Adaletin Aracı Rolü

Osman Seray ÖZKAN

Yenilenebilir Enerji (Rüzgâr Enerjisi) Üreten İşletmelerin Türkiye Muhasebe Standartları Açısından Değerlendirilmesi1

BÜLENT YILMAZ

Online Yorumların Tüketici Satın Alma Kararına Etkisi: Kullanıcı Özellikleri Açısından Bir Değerlendirme

Peruze Cansu AKDENİZ, TUĞBA ÖZBÖLÜK

Sanal Kaytarma ve İş Performansı İlişkisi: Kuşaklar Teorisi Yaklaşımı

Erhan KUZNEK, BERRİN GÜZEL

Kamu Üniversitelerinde Çalışan Akademisyenlerin Norm Kadro Uygulamasına Yönelik Görüşlerinin Belirlenmesine İlişkin Bir Araştırma

RIZA DEMİR, MURAT DEMİR

Yöresel Restoranlarda Yemek Yiyen Müşterilerin Restoran Hakkındaki Algılamaları, Tutumları ve Tekrar Satın Alma Niyetleri Üzerine Ampirik Bir Çalışma

AHMET TAYFUN, ATINÇ OLCAY, Şerife YAZGAN PEKTAŞ, Buse ÇETİ

Çalışanların Öz Güven ve Yaratıcılık Düzeylerinin Mutlulukları Üzerindeki Etkisini Belirlemeye Yönelik Bir Araştırma

Ayşe Ece SERT, OLCA SÜRGEVİL DALKILIÇ

İç Girişimciliğin İşe Tutkunluğa Etkisinde Birey- Örgüt Uyumunun Aracılık Rolü

Pınar ERKAL

KOSGEB Uygulamalı Girişimcilik Eğitimi Alan Üniversite Öğrencilerinin Girişimci Kişilik Özellikleri ve Kariyer Planları Arasındaki İlişki: AKÜ Örneği1

Ahmet Gençay DAĞLI, Koray GÜRPINAR