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The Relationship Between the Indices of Volatility (VIX) and Sustainability (DJSEMUP): An ARDL Approach

Author

Listed:
  • Vergili, Gizem

    (Burdur Mehmet Akif Ersoy University)

  • Çelik, Mehmet Sinan

    (Nigde Omer Halisdemir University)

Abstract

This study aims to determine the cointegration relationship between Dow Jones Sustainability Emerging Markets Index (DJSEMUP) and the VIX Fear Index with monthly series between February 2013 and March 2020. This study, which examines the cointegration relationship between sustainability and volatility index from the perspective of emerging markets, is novel. First, unit root tests are utilized to understand the stationarity of the series. The unit root test results show that the VIX Index and DJSEMUP Index are not stationary at the same level. To this end, the ARDL (Autoregressive Distributed Lag) bounds test, which allows to detection of stationarity relationships at different levels, is applied to examine the cointegration relationship. The results show that there is a long-term relationship between the DJSEMUP Index and the VIX Index with a negative coefficient. As a result, long-term investors of companies included in the DJSEMUP Index can be recommended to invest by considering the VIX Index.

Suggested Citation

  • Vergili, Gizem & Çelik, Mehmet Sinan, 2023. "The Relationship Between the Indices of Volatility (VIX) and Sustainability (DJSEMUP): An ARDL Approach," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 14(1), pages 19-29, January.
    • Handle: RePEc:ris:buecrj:0622
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    Citations

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    Cited by:

    1. Nini Johana Marín-Rodríguez & Juan David González-Ruiz & Alejandro Valencia-Arias, 2023. "Sustainability, Uncertainty, and Risk: Time-Frequency Relationships," Sustainability, MDPI, vol. 15(18), pages 1-18, September.
    2. Nektarios Gavrilakis & Christos Floros, 2024. "Volatility and Herding Bias on ESG Leaders’ Portfolios Performance," JRFM, MDPI, vol. 17(2), pages 1-22, February.
    3. Wenbo Ge & Pooia Lalbakhsh & Leigh Isai & Artem Lensky & Hanna Suominen, 2023. "Comparing Deep Learning Models for the Task of Volatility Prediction Using Multivariate Data," Papers 2306.12446, arXiv.org, revised Jun 2023.

    More about this item

    Keywords

    Sustainability; Sustainability Index; VIX Index; Stock Market; ARDL Bounds Test;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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