EVALUATION OF STOCK MARKET REACTION TO THE INCLUSION OF FIRMS IN THE ISE SUSTAINABILITY INDEX
INTERNATIONAL JOURNAL OF INSURANCE AND FINANCE, cilt.3, sa.1, ss.11-19, 2023 (Hakemli Dergi)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 3 Sayı: 1
- Basım Tarihi: 2023
- Doi Numarası: 10.52898/ijif.2023.2
- Dergi Adı: INTERNATIONAL JOURNAL OF INSURANCE AND FINANCE
- Derginin Tarandığı İndeksler: Asos İndeks
- Sayfa Sayıları: ss.11-19
- Ankara Yıldırım Beyazıt Üniversitesi Adresli: Hayır
Özet
This study examines the reaction of stock markets to the inclusion of companies in the Istanbul Stock Exchange Sustainability Index (ISESI). The Event study method is used to determine whether abnormal returns were obtained or not. Daily stock
returns are used for the analysis of the event study, which ran
from November 4, 2014, to April 29, 2016. The event date was
also the announcement date November 4, 2015. Cumulative
Abnormal Returns (CAR) in these event windows other than
(+2,-2) event window for the two companies are not significant. It is important that the study is carried out on the sustainability index calculated for the first time.
Keywords
ISESI, Sustainability, Sustainability Index, Event Study,
Efficient Market Hypothesis
JEL Classification
G14 - Q56