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The impact of risk indicators on sustainability (ESG) and broad-based indices: an empirical analysis from Germany, France, Indonesia and Turkey

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  • Hüseyin Öcal
  • Anton Abdulbasah Kamil

Abstract

This study aims to provide empirical insights into how sustainability (ESG) and broad-based indices are affected by risk indicators such as VIX, CDS, and FX volatility index. Germany ESG-X, CDAX, France ESG-X, CAC All, Indonesia SRI-KEHATI, IDX Composite, BIST (Borsa Istanbul) Sustainability, and BIST All price indices have been examined. The daily data between November 4, 2014, and December 5, 2019 are used. Vector autoregression (VAR), Granger causality and impulse response test are employed in the analysis. The results of the study revealed that companies which are included in the Germany ESG-X, France ESG-X, and SRI-KEHATI are affected by shocks less than the companies included in broad-based indices of each country. In contrast to this result, BIST Sustainability is affected more by the shocks than BIST All. Stocks with higher ESG exposure in terms of quantity, quality, and credibility tend to have a lower risk. Causality test results revealed that VIX causes broad-based and ESG indices more than any other risk indicators.

Suggested Citation

  • Hüseyin Öcal & Anton Abdulbasah Kamil, 2021. "The impact of risk indicators on sustainability (ESG) and broad-based indices: an empirical analysis from Germany, France, Indonesia and Turkey," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 13(1), pages 18-54.
    • Handle: RePEc:ids:ijsuse:v:13:y:2021:i:1:p:18-54
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    Citations

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    Cited by:

    1. Faozi A. Almaqtari & Tamer Elsheikh & Omar Ikbal Tawfik & Mayada Abd El-Aziz Youssef, 2022. "Exploring the Impact of Sustainability, Board Characteristics, and Firm-Specifics on Firm Value: A Comparative Study of the United Kingdom and Turkey," Sustainability, MDPI, vol. 14(24), pages 1-27, December.
    2. agarwal, shekhar & Gordon, Anna, 2022. "Complexities for the Indian Economy of China's Growing Technological Competence," OSF Preprints fk3r7, Center for Open Science.
    3. Nektarios Gavrilakis & Christos Floros, 2024. "Volatility and Herding Bias on ESG Leaders’ Portfolios Performance," JRFM, MDPI, vol. 17(2), pages 1-22, February.
    4. Hamzeh F. Assous, 2022. "Saudi Green Banks and Stock Return Volatility: GLE Algorithm and Neural Network Models," Economies, MDPI, vol. 10(10), pages 1-18, October.
    5. agarwal, shekhar, 2022. "India’s Rising Technology Economy: Sources and Consequences," OSF Preprints x6yzm, Center for Open Science.

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