Do Frequency Differences Overshadow Sustainability Impact? The GARCH-MIDAS Example

Basit Öğe Kaydı
dc.contributor.authorBozkurt, Gözde
dc.date.accessioned2026-01-31T15:02:20Z
dc.date.available2026-01-31T15:02:20Z
dc.date.issued2025
dc.departmentİstanbul Beykent Üniversitesi
dc.description.abstractThis study analyzes the effect of carbon dioxide (?CO?_2) emissions per capita, which is an important indicator of environmental sustainability, on the volatility of Borsa Istanbul 100 (BIST100) index through financial data at different frequencies (daily, weekly and monthly). Since environmental data are at annual frequency and financial returns are at high frequency, GARCH-MIDAS(1,1) model was preferred. This model enables analysis by integrating the low-frequency structure of macro variables with the high-frequency nature of financial market variables. The findings of the study show that the effect of environmental variables on volatility varies depending on the data frequency. Especially in the weekly data frequency, both short-term and long-term parameters were found to be statistically significant and the performance of the model reached the highest level. The results reveal that frequency differences can significantly affect the sustainability-finance relationship and that the correct frequency selection plays a critical role in the analysis.
dc.identifier.doi10.29216/ueip.1687052
dc.identifier.endpage664
dc.identifier.issn2587-2559
dc.identifier.issue2
dc.identifier.startpage651
dc.identifier.trdizinid1350122
dc.identifier.urihttps://doi.org/10.29216/ueip.1687052
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/1350122
dc.identifier.urihttps://hdl.handle.net/20.500.12662/10409
dc.identifier.volume9
dc.indekslendigikaynakTR-Dizin
dc.language.isoen
dc.relation.ispartofUluslararası Ekonomi, İşletme ve Politika Dergisi
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_TR-Dizin_20260128
dc.subjectEnvironmental Sustainability
dc.subjectGARCH-MIDAS
dc.subjectData Frequency Comparison
dc.titleDo Frequency Differences Overshadow Sustainability Impact? The GARCH-MIDAS Example
dc.typeArticle

Dosyalar

Koleksiyon

TR-Dizin İndeksli Yayınlar Koleksiyonu