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

Vergili, Gizem; ÇELİK>, Mehmet Sinan

doi:10.20409/berj.2023.401

Cited by 3 publications

(4 citation statements)

References 18 publications

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“…Furthermore, Shaikh (2022) examined the relationship between sustainable investment and uncertainties, and found a negative relationship between the VIX index and Dow Jones Sustainability Indices from 2000 to 2017. Vergili and Celik (2023), in their study, reported a long-term cointegration relationship (with a negative coefficient) between the VIX fear index and the Dow Jones Sustainability Emerging Markets Index (DJSEMUP) by using monthly data from 2013 to 2020. Finally, by employing the Morgan Stanley Capital International (MSCI) ESG Leader index, Sabbaghi (2023) examined the volatility risk and provided seminal evidence of a slow response to news in emerging markets on the part of the selected index.…”

Section: Esg Volatility and Dispersion Of Returnsmentioning

confidence: 97%

Volatility and Herding Bias on ESG Leaders’ Portfolios Performance

Gavrilakis,

Floros

2024

JRFM

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We here analyze the factor loadings given by the CAPM, the Fama–French three (FF3), and the five-factor model (FF5), and test the performance and the validity of adding two more factors (volatility and dispersion of returns) to the FF5 factor model of European index-based ESG leaders’ portfolios. Our ESG leaders’ portfolios generated significant negative alphas during 2012–2022, corroborating the literature’s negative argument. The negative abnormal returns of ESG leaders’ portfolios are homogeneous across the three ESG pillars. We conclude that European ESG leaders’ portfolios are biased toward large cap and value stocks with robust operating profitability and against aggressive investments. As robustness tests, we examine Global ESG leaders’ index-based portfolios, producing the same results but with reduced importance in some loading factors like profitability and investment strategy. Furthermore, we deduced that European and Global ESG leaders’ portfolios tilt towards volatility and herding bias.

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Section: Esg Volatility and Dispersion Of Returnsmentioning

confidence: 97%

Volatility and Herding Bias on ESG Leaders’ Portfolios Performance

Gavrilakis,

Floros

2024

JRFM

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“…This finding could be useful for investors and analysts in understanding how volatility in different market segments might be interconnected or influenced by similar factors. According to the existing literature, the correlation between the Sustainability World Index and the VIX index is expected to be negative or weakly negative [49]. Sustainabilityfocused companies tend to prioritize long-term strategies, which can offer stability even during increased market uncertainty, leading to lower volatility in their stock prices.…”

Section: Unconditional Correlation Analysismentioning

confidence: 99%

“…Sustainabilityfocused companies tend to prioritize long-term strategies, which can offer stability even during increased market uncertainty, leading to lower volatility in their stock prices. As a result, investors seeking stable and sustainable investments may be drawn to such According to the existing literature, the correlation between the Sustainability World Index and the VIX index is expected to be negative or weakly negative [49]. Sustainabilityfocused companies tend to prioritize long-term strategies, which can offer stability even during increased market uncertainty, leading to lower volatility in their stock prices.…”

Section: Unconditional Correlation Analysismentioning

confidence: 99%

“…Additionally, following [51], VIX and MOVE indexes, as proxy variables of economic policy uncertainty, are expected to have a positive correlation. Furthermore, according to [49], the heightened market volatility results in an elevated VIX Index, leading investors to exercise greater caution in their decision making. As fear and uncertainty increase in the financial markets, such heightened risk aversion is anticipated to impact the Sustainability Index negatively.…”

Section: Unconditional Correlation Analysismentioning

confidence: 99%

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Sustainability, Uncertainty, and Risk: Time-Frequency Relationships

Marín-Rodríguez,

González-Ruiz,

Valencia-Arias

2023

Sustainability

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This study investigates the interconnected dynamics among the Dow Jones Sustainability World Index and two volatility indexes, the Cboe Volatility Index and ICE BofA MOVE Index. It examines their relationships and causalities within daily data spanning from January 2014 to July 2023. The research employs wavelet power spectrum (WPS) and wavelet coherence analyses (WCA) to delve into these interconnections. The wavelet power spectrum reveals noteworthy volatility spikes in the indexes during specific periods linked to geopolitical occurrences, the COVID-19 pandemic, and global uncertainties. A wavelet coherence analysis unveils how the DJ Sustainability World Index significantly influences the Cboe Volatility Index and ICE BofA MOVE Index across short, medium, and long-term perspectives, albeit with variations in certain periods. The empirical findings underscore the intricate relationships between sustainability and volatility indexes, shedding light on their nuanced causal interplay over time. The insights from this study hold paramount implications for policy-makers, investors, and financial institutions navigating a complex and uncertain landscape. The identified relationships between sustainability and market volatility can aid in making informed decisions. This research adds original value by uncovering the time-varying relationships between sustainability and volatility indexes, revealing their interdependencies across diverse temporal scales. Given the observed causal relationships, policy-makers and investors are recommended to consider sustainability-related developments when assessing market volatility. This proactive approach can lead to more informed decision making and effective risk management strategies.

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Seçilmiş Risk Ölçütleri ile Sürdürülebilirlik Endeksi Arasındaki İlişkinin Araştırılması

Demirez,

Kandır

2024

BDDK Bankacılık Ve Finansal Piyasalar Dergisi

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Bu çalışmanın amacı, finansal piyasalardaki risk göstergeleri olan VIX, OVX ve GVZ volatilite endeksleri ile Borsa İstanbul Sürdürülebilirlik Endeksi (XUSRD) arasındaki ilişkinin araştırılmasıdır. 01.12.2014-01.12.2023 dönemini kapsayan ve ARDL Sınır Testi ile Toda-Yamamoto Nedensellik Testi kullanılarak yapılan analizlerde, enflasyon ve faiz değişkenleri kontrol değişkenleri olarak kullanılmıştır. Bulgulara göre, OVX ve GVZ ile XUSRD arasında uzun dönemde anlamlı bir ilişki bulunmazken; VIX ile XUSRD arasında uzun dönemde anlamlı bir ilişki tespit edilmiştir. Sonuçlar, VIX'in XUSRD üzerinde negatif etkisi olduğunu ve VIX, OVX, GVZ endekslerinden XUSRD'ye doğru tek yönlü nedensellik ilişkisi bulunduğunu göstermektedir.

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

Cited by 3 publications

References 18 publications

Volatility and Herding Bias on ESG Leaders’ Portfolios Performance

Volatility and Herding Bias on ESG Leaders’ Portfolios Performance

Sustainability, Uncertainty, and Risk: Time-Frequency Relationships

Seçilmiş Risk Ölçütleri ile Sürdürülebilirlik Endeksi Arasındaki İlişkinin Araştırılması

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