Analysis of the Relationships Among Clean Energy, Sustainability, and BIST Indices: TVP-VAR Approach

Abstract

Sustainability and clean energy are at the forefront of today's global economic and environmental policies. In the financial markets, analyzing the dynamic connections between indices in these areas provides crucial insights for investors, policymakers, and academics. The aim of this study is to determine the dynamic interconnectedness between the S&P Global Clean Energy Index (GCE), Dow Jones Sustainability Index (DJSWI), and BIST Sustainability Index (BIST) and to reveal their potential effects on each other. In the study, daily closing data sets were utilized for all variables from the period 05.11.2014-18.08.2023. To identify the dynamic linkage between the variables, the time-varying parameter vector autoregressive (TVP-VAR) model was employed. The analyses found that the S&P Global Clean Energy Index (GCE) transmits volatility to the BIST Sustainability Index. Moreover, the S&P Global Clean Energy Index also transmits volatility to the Dow Jones Sustainability Index.