Sürdürülebilirlik Endeksi İle Borsa ve Ana Sektör Pay Endeksleri Arasındaki Dinamik Volatilite Bağlantısı

Letife Özdemir

doi:10.37241/jatss.2026.142

Authors

Letife Özdemir Afyon Kocatepe Üniversity, Faculty of Economics and Administrative Sciences, Department of International Trade and Finance, Afyonkarahisar/Türkiye https://orcid.org/0000-0002-8636-2277

DOI:

https://doi.org/10.37241/jatss.2026.142

Keywords:

sustainability index, stock market sector indices, dynamic connectedness, volatility spillower, TVP-VAR model

Abstract

Introduction: Assessing volatility spillovers provides guidance the decision-making processes of market participants and policymakers. In this context, identifying volatility transmitters and receivers between sustainability and traditional indices contributes to risk management.

Method: The dynamic volatility spillover among the Sustainability Index (XUSRD), the BIST-100 (XU100) and main sector indices in Turkey using the time-varying parameter vector autoregressive method. Daily data for the period 02 February 2020 to 31 July 2025 for the XUSRD, XU100, Financial (XUMAL), Industrial (XUSIN), Services (XUHIZ), and Technology (XUTEK) indices are used.

Results or Findings: The XUSRD, XU100, and XUSIN indices are volatility transmitters; while the XUMAL, XUTEK, and XUHIZ indices are volatility receivers. The high value of TCI indicates that volatility spillovers among the indices are quite strong. Volatility spillovers increases during periods of global events (the coronavirus outbreak and the Russia-Ukraine war), as well as domestic events (the February 6 earthquakes and political developments in 2025). Furthermore, volatility transfer occurs from the XUSRD to the Industrial, Services, and Technology indices at rates of 19.50%, 17.59%, 17.47%, and 14.97%, respectively.

Discussion or Conclusion: The findings indicate a high degree of dynamic volatility connectedness among the indices included in the analysis. Therefore, including these indices in the same portfolio may increase portfolio risk. Furthermore, changes in sustainability-focused expectations are seen to be rapidly transmitted to the production and service sectors, particularly the financial sector. Investors can make less risky investment decisions by paying attention to the volatility spillovers among these indices.

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