The impact of risk indicators on sustainability (ESG) and broad-based indices: an empirical analysis from Germany, France, Indonesia and Turkey
by Hüseyin Öcal; Anton Abdulbasah Kamil
International Journal of Sustainable Economy (IJSE), Vol. 13, No. 1, 2021

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.

Online publication date: Fri, 26-Feb-2021

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Sustainable Economy (IJSE):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email