The Volatility and Shock Transmission Patterns between the BIST Sustainability and BIST 100 Indices

OpenAlex İngilizce

This study aims at empirically investigating the volatility and shock transmission patterns between the BIST 100 Index and relatively new BIST Sustainability Index, which is a platform for companies with high performance on the international sustainability criteria. Utilising 678 daily data from 05/11/2014, the day the XSURD index was launched, to 31/08/2017, the analysis employed a bivariate BEKK-GARCH (1,1) model. The findings indicate the existence of bi-directional volatility spillovers between two indices. Additionally, current volatility is affected by its own past volatility for each index. As for the shock transmission, the BIST Sustainability Index is responsive both to its own shocks and shocks arriving from the BIST 100 Index. However, the BIST 100 Index responds only to its own shocks without any significant shock transmission from the BIST Sustainability Index.