CAUSAL RELATIONSHIP BETWEEN FINANCIAL VARIABLES AND OIL PRICES AND BIST SUSTAINABILITY INDEX

Bertaç Şakir Şahin

Article Details

CAUSAL RELATIONSHIP BETWEEN FINANCIAL VARIABLES AND OIL PRICES AND BIST SUSTAINABILITY INDEX

Authors:

Bertaç Şakir Şahin

Publisher:

Marmara University

Main Topics:

Finansal Ekonomi | Finansal Piyasalar ve Kurumlar

Journal:

Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi Vol.47 Issue 1, pp.96-110

Document Type:

Article

Publication Date:

4/2025

Document Language:

English

Document ID (Org No.):

2001345067

pISSN:

2587-2672

Keywords:

Abstract:

 Sustainability has caused transformations in financial markets. At the core of these transformations is the financing of sustainability efforts and the creation of investment areas for sustainability-sensitive investors. Sustainability indices fulfil these two objectives in capital markets. Therefore, analysing the determinants of sustainability indices can contribute to sustainability efforts beyond the efficiency of capital markets. The literature focuses on the effects of macroeconomic and financial variables and energy prices on the sustainability index. This study analyses the determinants of the BIST Sustainability Index. Toda Yamamoto Causality analysis is applied to monthly 10-year bond yields, CDS and oil prices and Index closing variables for the period 2014-2023. Findings show a causality relationship between oil prices and BIST Sustainability Index. Results indicate transformation in energy markets may affect the performance of capital markets.

 Sustainability has caused transformations in financial markets. At the core of these transformations is the financing of sustainability efforts and the creation of investment areas for sustainability-sensitive investors. Sustainability indices fulfil these two objectives in capital markets. Therefore, analysing the determinants of sustainability indices can contribute to sustainability efforts beyond the efficiency of capital markets. The literature focuses on the effects of macroeconomic and financial variables and energy prices on the sustainability index. This study analyses the determinants of the BIST Sustainability Index. Toda Yamamoto Causality analysis is applied to monthly 10-year bond yields, CDS and oil prices and Index closing variables for the period 2014-2023. Findings show a causality relationship between oil prices and BIST Sustainability Index. Results indicate transformation in energy markets may affect the performance of capital markets.

 Sustainability has caused transformations in financial markets. At the core of these transformations is the financing of sustainability efforts and the creation of investment areas for sustainability-sensitive investors. Sustainability indices fulfil these two objectives in capital markets. Therefore, analysing the determinants of sustainability indices can contribute to sustainability efforts beyond the efficiency of capital markets. The literature focuses on the effects of macroeconomic and financial variables and energy prices on the sustainability index. This study analyses the determinants of the BIST Sustainability Index. Toda Yamamoto Causality analysis is applied to monthly 10-year bond yields, CDS and oil prices and Index closing variables for the period 2014-2023. Findings show a causality relationship between oil prices and BIST Sustainability Index. Results indicate transformation in energy markets may affect the performance of capital markets.

 Sürdürülebilirlik finansal piyasalarda dönüşümlere sebep olmuştur. Bu dönüşümlerin temelinde sürdürülebilirlik çabalarının finansmanı ve sürdürülebilirlik hassasiyeti olan yatırımcılar için yatırım alanları oluşturmak vardır. Sürdürülebilirlik endeksleri sermaye piyasalarında bu iki amacı karşılamaktadır. Dolayısıyla sürdürülebilirlik endekslerinin belirleyicilerinin analizi sermaye piyasalarının etkinliğinin ötesinde sürdürülebilirlik çabalarına da katkı sunacaktır. Literatür makroekonomik ve finansal değişkenler ile enerji fiyatlarının sürdürülebilirlik endeksi üzerindeki etkilerine odaklanır. Bu çalışma BIST Sürdürülebilirlik Endeksinin belirleyicileri incelenmiştir. 2014-2023 dönemindeki aylık 10 yıllık tahvil faizleri, CDS ve petrol fiyatları ve Endeks kapanış değişkenlerine Toda Yamamoto Nedensellik analizi uygulanmıştır. Petrol fiyatlarıyla BIST Sürdürülebilirlik Endeksi arasında Granger nedensellik ilişkisi bulunmaktadır. Bu sonuç enerji piyasalarındaki dönüşümün sermaye piyasalarının performansını etkileyebileceğini gösterir.

Article Details

CAUSAL RELATIONSHIP BETWEEN FINANCIAL VARIABLES AND OIL PRICES AND BIST SUSTAINABILITY INDEX

Authors:

Bertaç Şakir Şahin

Publisher:

Marmara University

Main Topics:

Finansal Ekonomi | Finansal Piyasalar ve Kurumlar

Journal:

Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi Vol.47 Issue 1, pp.96-110

Document Type:

Article

Publication Date:

4/2025

Document Language:

English

Document ID (Org No.):

2001345067

pISSN:

2587-2672

Sustainability Index

Financial Markets and Institutions

Oil PricesSürdürülebilirlik Endeksi

Finansal Piyasalar ve Kurumlar

Petrol Fiyatları.

Issues

Article Details

CAUSAL RELATIONSHIP BETWEEN FINANCIAL VARIABLES AND OIL PRICES AND BIST SUSTAINABILITY INDEX

Authors: Bertaç Şakir Şahin

Publisher: Marmara University

Main Topics: Finansal Ekonomi | Finansal Piyasalar ve Kurumlar

Journal: Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi Vol.47 Issue 1, pp.96-110

Document Type: Article

Publication Date: 4/2025

Document Language: English

Document ID (Org No.): 2001345067

pISSN: 2587-2672

Sustainability Index

Financial Markets and Institutions

Oil PricesSürdürülebilirlik Endeksi

Finansal Piyasalar ve Kurumlar

Petrol Fiyatları.

Issues

Authors:

Bertaç Şakir Şahin

Publisher:

Marmara University

Main Topics:

Finansal Ekonomi | Finansal Piyasalar ve Kurumlar

Journal:

Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi Vol.47 Issue 1, pp.96-110

Document Type:

Article

Publication Date:

4/2025

Document Language:

English

Document ID (Org No.):

2001345067

pISSN:

2587-2672