The Time-Varying Causality Relationship between Sukuk, BIST Sustainability Index and Government Bonds: The Case of Turkey

Kaan Türkay; Ömer Limanlı; Gülfen Tuna

Makale detayları

The Time-Varying Causality Relationship between Sukuk, BIST Sustainability Index and Government Bonds: The Case of Turkey

Yazarlar:

Kaan Türkay | Ömer Limanlı | Gülfen Tuna

Yayıncı:

Ahmet Arif EREN

Dergi:

Fiscaoeconomia Vol.7 Issue 2, pp.1028-1066

Belge Tipi:

Makale

Yayın Tarihi:

5/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001290164

pISSN:

2564-7504

Anahtar kelimeler:

Özet:

 In financial markets, some investors consider not only basic functions such as return and hedging, but also normative dimensions such as faith, ethics, environmental impact and responsible investment principles. In the process of portfolio construction, investors asset choices are complicated by their concerns regarding risk-return preferences on the one hand and their beliefs or responsible investment principles on the other. In this context, this study investigates the time-varying causality relationship between the Borsa Istanbul BIST sustainability index, government-issued lease certificates sukuk and 10-year government bonds government bonds traded as financial instruments in Turkey. In addition, it highlights the commonalities between sustainable finance and Islamic finance, and emphasizes that investors who base socially responsible investment principles can increase their asset choices. These contributions constitute the importance of the study. The data used in the empirical analysis are daily data covering 2016-2020. According to the findings, a bidirectional time-varying Granger causality relationship is found between the BIST sustainability index and sukuk, a unidirectional Granger causality relationship between BIST sustainability index and government bonds from the BIST sustainability Index to government bonds, and a bidirectional time-varying Granger causality relationship between government bonds and sukuk. Accordingly, the dynamic relationship between these assets is expected to provide useful information to investors when making price predictions.

 In financial markets, some investors consider not only basic functions such as return and hedging, but also normative dimensions such as faith, ethics, environmental impact and responsible investment principles. In the process of portfolio construction, investors asset choices are complicated by their concerns regarding risk-return preferences on the one hand and their beliefs or responsible investment principles on the other. In this context, this study investigates the time-varying causality relationship between the Borsa Istanbul BIST sustainability index, government-issued lease certificates sukuk and 10-year government bonds government bonds traded as financial instruments in Turkey. In addition, it highlights the commonalities between sustainable finance and Islamic finance, and emphasizes that investors who base socially responsible investment principles can increase their asset choices. These contributions constitute the importance of the study. The data used in the empirical analysis are daily data covering 2016-2020. According to the findings, a bidirectional time-varying Granger causality relationship is found between the BIST sustainability index and sukuk, a unidirectional Granger causality relationship between BIST sustainability index and government bonds from the BIST sustainability Index to government bonds, and a bidirectional time-varying Granger causality relationship between government bonds and sukuk. Accordingly, the dynamic relationship between these assets is expected to provide useful information to investors when making price predictions.

 In financial markets, some investors consider not only basic functions such as return and hedging, but also normative dimensions such as faith, ethics, environmental impact and responsible investment principles. In the process of portfolio construction, investors asset choices are complicated by their concerns regarding risk-return preferences on the one hand and their beliefs or responsible investment principles on the other. In this context, this study investigates the time-varying causality relationship between the Borsa Istanbul BIST sustainability index, government-issued lease certificates sukuk and 10-year government bonds government bonds traded as financial instruments in Turkey. In addition, it highlights the commonalities between sustainable finance and Islamic finance, and emphasizes that investors who base socially responsible investment principles can increase their asset choices. These contributions constitute the importance of the study. The data used in the empirical analysis are daily data covering 2016-2020. According to the findings, a bidirectional time-varying Granger causality relationship is found between the BIST sustainability index and sukuk, a unidirectional Granger causality relationship between BIST sustainability index and government bonds from the BIST sustainability Index to government bonds, and a bidirectional time-varying Granger causality relationship between government bonds and sukuk. Accordingly, the dynamic relationship between these assets is expected to provide useful information to investors when making price predictions.

 Finansal piyasalarda yatırımcıların bir kısmı finansal varlık seçimlerinde sadece getiri ve riskten korunma gibi temel fonksiyonları değil, yanı sıra inanç, etik, çevresel etki ve sorumlu yatırım ilkeleri gibi normatif boyutları da dikkate almaktadır. Portföy oluşturma sürecinde bir yandan inanç veya sorumlu yatırım ilkelerini gözetmeleri diğer yandan da risk-getiri tercihlerine ilişkin taşıdıkları kaygılar yatırımcıların varlık seçimlerini güçleştirmektedir. Bu bağlamda, çalışmada, Türkiyede finansal araç olarak işlem gören Borsa İstanbul BIST sürdürülebilirlik endeksi, kamu ihraçlı kira sertifikası sukuk ve 10 yıllık devlet borçlanma senedi devlet tahvili arasındaki zamanla değişen nedensellik ilişkisini araştırmaktadır. Bununla beraber çalışma sürdürülebilir finans ile İslami finans arasındaki ortak noktalara değinerek sosyal sorumlu yatırım ilkelerini baz alan yatırımcıların varlık seçeneklerini artırabileceklerine dikkat çekmektedir. Bu katkılar çalışmanın önemini oluşturmaktadır. Ampirik analizinde kullanılan veriler 2016-2020 dönemini kapsayan günlük verilerdir. Bulgulara göre, BIST sürdürülebilirlik endeksi ile kira sertifikası sukuk arasında iki yönlü, BIST sürdürülebilirlik endeksi ile devlet tahvili arasında tek yönlü BIST sürdürülebilirlik endeksinden devlet tahviline, devlet tahvili ile kira sertifikası arasında iki yönlü zamanla değişen Granger nedensellik ilişkisi tespit edilmiştir. Buna göre, ele alınan varlıklar arasındaki dinamik ilişkinin, yatırımcılara fiyat kestirimi yaparken faydalı bilgiler sağlayacağı düşünülmektedir.

Makale detayları

The Time-Varying Causality Relationship between Sukuk, BIST Sustainability Index and Government Bonds: The Case of Turkey

Yazarlar:

Kaan Türkay | Ömer Limanlı | Gülfen Tuna

Yayıncı:

Ahmet Arif EREN

Dergi:

Fiscaoeconomia Vol.7 Issue 2, pp.1028-1066

Belge Tipi:

Makale

Yayın Tarihi:

5/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001290164

pISSN:

2564-7504

Sustainable finance

Socially responsible investment (SRI)

Lease certificate

Sukuk

Financial asset selection

Islamic finance

Sustainability indexSürdürülebilir finans

Sosyal sorumlu yatırım (SRI)

Kira sertifikası

Sukuk

Finansal varlık seçimi

İslami finans

Sürdürülebilirlik endeksi

Sayı

Makale detayları

Yazarlar: Kaan Türkay | Ömer Limanlı | Gülfen Tuna

Yayıncı: Ahmet Arif EREN

Dergi: Fiscaoeconomia Vol.7 Issue 2, pp.1028-1066

Belge Tipi: Makale

Yayın Tarihi: 5/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001290164

pISSN: 2564-7504

Sayı

Yazarlar:

Kaan Türkay | Ömer Limanlı | Gülfen Tuna

Yayıncı:

Ahmet Arif EREN

Dergi:

Fiscaoeconomia Vol.7 Issue 2, pp.1028-1066

Belge Tipi:

Makale

Yayın Tarihi:

5/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001290164

pISSN:

2564-7504