NAVIGATING UNCERTAINTY: DYNAMIC LINKAGES BETWEEN SUSTAINABILITY INDICES AND ESG-RELATED SHOCKS

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dc.contributor.authorDuran, Naime İrem
dc.date.accessioned2026-01-31T14:59:09Z
dc.date.available2026-01-31T14:59:09Z
dc.date.issued2025
dc.departmentİstanbul Beykent Üniversitesi
dc.description.abstractThis research explores how sustainability-oriented stock-market benchmarks behave when different forms of macro-level uncertainty intensify. The core question is whether these indices dampen systemic risk or, instead, propagate additional volatility. Empirically, the study assesses two broad benchmarks—the Dow Jones Sustainability World Best-in-Class Index and the STOXX Europe Sustainability 40—against four sources of uncertainty: global energy-market volatility, an indicator of ESG-related ambiguity, crude-oil price turbulence, and the climate-policy uncertainty index. Long-run comovements are probed with the ARDL bounds-testing framework, while augmented Toda–Yamamoto procedures identify the direction of causality. All time-series are first subjected to Augmented Dickey–Fuller unit-root tests to establish their order of integration. Using monthly data for the period from January 2015 to November 2022, the results show that sustainability indices respond asymmetrically to different sources of uncertainty.DJSI is positively associated in the long term with ESG and climate uncertainty, while STOXX has positive and negative sensitivities. Short-run causality tests detect selective bidirectional relationships, indicating that sustainability indices do not only react to but also lead some measures of uncertainty. Overall, the results underscore the dual role of sustainability indices as reflective and predictive tools, offering insights into the way financial markets internalize sustainability-related risks in the face of shifting macroeconomic conditions.
dc.identifier.doi10.53443/anadoluibfd.1705330
dc.identifier.endpage484
dc.identifier.issn2687-184X
dc.identifier.issue4
dc.identifier.startpage456
dc.identifier.urihttps://doi.org/10.53443/anadoluibfd.1705330
dc.identifier.urihttps://hdl.handle.net/20.500.12662/10255
dc.identifier.volume26
dc.language.isoen
dc.publisherAnadolu Üniversitesi
dc.publisherAnadolu University
dc.relation.ispartofAnadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
dc.relation.ispartofAnadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_DergiPark_20260128
dc.subjectEconometrics (Other)
dc.subjectEkonometri (Diğer)
dc.subjectFinance
dc.subjectFinans
dc.subjectFinancial Econometrics
dc.subjectFinansal Ekonometri
dc.subjectFinancial Forecast and Modelling
dc.subjectFinansal Öngörü ve Modelleme
dc.subjectFinancial Risk Management
dc.subjectFinansal Risk Yönetimi
dc.titleNAVIGATING UNCERTAINTY: DYNAMIC LINKAGES BETWEEN SUSTAINABILITY INDICES AND ESG-RELATED SHOCKS
dc.typeArticle

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