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

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.