The impact of risk indicators on sustainability (ESG) and broad-based indices: An empirical analysis from Germany, France, Indonesia and Turkey

Öcal H., Kamil A. A.

International Journal of Sustainable Economy, cilt.13, sa.1, ss.18-54, 2021 (Scopus) identifier

  • Yayın Türü: Makale / Özet
  • Cilt numarası: 13 Sayı: 1
  • Basım Tarihi: 2021
  • Doi Numarası: 10.1504/ijse.2021.113319
  • Dergi Adı: International Journal of Sustainable Economy
  • Derginin Tarandığı İndeksler: Scopus, International Bibliography of Social Sciences, PASCAL, Aerospace Database, CAB Abstracts, Communication Abstracts, EconLit, INSPEC, Metadex, Civil Engineering Abstracts
  • Sayfa Sayıları: ss.18-54
  • Anahtar Kelimeler: CDS, Currency option volatility index, ESG-X, France, Germany, Indonesia, Mandatory sustainability reporting, Portfolio investment, Risk management, Turkey, VIX
  • İstanbul Gelişim Üniversitesi Adresli: Evet

Özet

Copyright © 2021 Inderscience Enterprises Ltd.This study aims to provide empirical insights into how sustainability (ESG) and broad-based indices are affected by risk indicators such as VIX, CDS, and FX volatility index. Germany ESG-X, CDAX, France ESG-X, CAC All, Indonesia SRI-KEHATI, IDX Composite, BIST (Borsa Istanbul) Sustainability, and BIST All price indices have been examined. The daily data between November 4, 2014, and December 5, 2019 are used. Vector autoregression (VAR), Granger causality and impulse response test are employed in the analysis. The results of the study revealed that companies which are included in the Germany ESG-X, France ESG-X, and SRI-KEHATI are affected by shocks less than the companies included in broad-based indices of each country. In contrast to this result, BIST Sustainability is affected more by the shocks than BIST All. Stocks with higher ESG exposure in terms of quantity, quality, and credibility tend to have a lower risk. Causality test results revealed that VIX causes broad-based and ESG indices more than any other risk indicators.