Is There a Relationship Between S&P Green Bond Index and VIX Index and BIST Sustainability Index? An Analysis with Wavelet Coherence Analysis
Chapter from the book:
Seyhan,
M.
(ed.)
2024.
Selected Topics in Business Domain.
Synopsis
The aim of the study is to reveal how the Sustainability Index, one of the Borsa Istanbul stock market indices, is affected by the green bond market and global risks. S&P Green Bond Index, one of the green bond market indicators, and VIX Index, one of the global risk indicators, are used. The method used to investigate this relationship is wavelet coherence analysis. With this analysis, it is possible to reveal the frequency and time dimensional relationships between variables. Within the scope of the study, index closing data at daily frequency between 6.11.2014-27.07.2022 were used. As a result of the analysis, information on short-medium-long term correlation and causality between variables was obtained. According to the results, significant relationships were found between the S&P Green Bond Market and VIX Index and the BIST Sustainability Index. The study is expected to contribute to the literature in terms of revealing the effects of sustainability and global risk perception on the investment decisions of capital market investors.
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Copyright (c) 2024 Mehmet Seyhan; Gönül Çifçi, Şükriye Gül Reis, Fulya Çelikhan, Tuğçe Gürsel, Nazif Ayyıldız, İlhan Bal, Yaman Alhasan, Mehmet Seyhan, Nurperi Ateş, Zafer Yiğit, Özge Sevimli