Does the Sustainability Index Make a Difference in Returns?*

N. Serap Vurur
International Journal of Finance, Insurance and Risk Management, Volume 9, Issue 3-4, 17-28, 2019
DOI: 10.35808/ijfirm/195

Abstract:

Purpose: The purpose of this study is to examine if the sustainability index influnces returns differently than other indices. It compares sustainability index with other indices in the case of the Turkish state. Design/Methodology/Approach: The article uses the Sharpe, Jensen, and Treynor’s criteria for the empirical analysis comparing stock market indices data in the period of 2014-2016 with the sustainability index. Findings: According to the findings, it was determined that the Bist 100, Bist 50, Bist 30, Bist whole, and sustainability index could not provide a return above the investors' risk-free interest rate in the related period. When evaluated in terms of beta coefficients, it can be said that the sustainability index is similar to the beta value of the other indices. When we look at the coefficients of the determinants, it is seen that diversity is best in Bist 100 and sustainability index. Similar results were obtained according to Sharpe, Treynor, and Jensen’s performance criteria used as well. The highest performance achieved is the Bist 30 index, while the sustainability index ranked second behind the Bist 30 index. Practical Implications: As can be seen from the literature review, studies generally investigated the effect of being included in the sustainability index on financial performance however they have not yet covered the issue extensively. The present study is a case for Turkey where similar studies have been published with controversial results. Originality/Value: Since there are not enough studies comparing the sustainability index with other indices in terms of risk and return this study aims to fill this gap.


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