THE EXTENT OF SPILLOVERS FROM SECTORIAL INDICES TO THE BORSA ISTANBUL SUSTAINABILITY INDEX: EVIDENCE FROM VARIOUS QUANTILES

Authors : Mehmet Emin Yıldız

Pages : 339-360

Doi:10.31671/doujournal.1629838

View : 50 | Download : 43

Publication Date : 2025-07-22

Article Type : Research Paper

Abstract :In this study, the return spillovers from sectorial indices to the BIST Sustainability Index (SRD) are investigated to present evidence for equity markets from a sectorial perspective. The aim of the study is to present compelling evidence for equity markets, taking a sectorial perspective into account. By examining the contributions from each sector, an attempt is made to shed light on the extent of their influence and provide empirical evidence to assist policy makers in formulating incentives and measures necessary for fostering future and more sustainable markets. Empirical analyses are conducted through a Quantile VAR analysis at a given conditional quantile. In this regard, 22 sectors from Borsa Istanbul are examined, and evidence is presented from three quantiles: extreme lower, median, and extreme upper quantiles. The major contributors to the return spillovers in these quantiles are found as ILTM and BANK sectors. Nevertheless, the GMYO sector comes to the fore and replaces the role of the BANK sector in the median quantile. Finally, results suggest that systematic risk is another rigorous element in transmitting returns toward the SRD index, especially during high market volatility led by the BANK sector. Thus, it is concluded that policies that mitigate the systematic risk exposure in the banking sector may enhance the stability of the SRD index.
Keywords : Sürdürülebilirlik, Gelişmekte Olan Piyasalar, Borsa İstanbul Sektörleri, Kantil Bağlantısallığı

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