Borsa İstanbul Sürdürülebilirlik Endeksinin Performans Karakteristiği

Abstract

In this study, the performance of Borsa Istanbul Sustainability Index is compared with the benchmark index (BIST100 index) and the period between November 4, 2014 and December 30, 2016 is investigated. In the perspective of risk-adjusted return analysis, the Sharpe ratio for Sustainability Index is higher than BIST100 index. Also, Jensen alpha is positive although near zero and statistically not significant. Hence, the performance of Sustainability Index is not systematically different from BIST100 index. Beta value is above 1 and statistically significant, which means that the risk of Sustainability Index is significantly higher than BIST100 index. According to the results for the joint hypothesis in the context of risk and return, the financial output of Sustainability Index is significantly different from BIST100 index. EGARCH (1,1) estimation results for the conditional volatility modelling of indices demonstrate that for both indices the volatility persistence is high and negative shocks have greater influence on the volatility than positive shocks. These results indicate that leaving aside the investors’s personal values, there is no financial incentives for investors in terms of financial output of Sustainability Index. However, the response of the investors can differentiate in time considering that the Sustainability Index is created recently, the socially responsible investment approach is relatively new and the awareness regarding the subject can be increased.