EVALUATION OF STOCK MARKET REACTION TO THE INCLUSION OF FIRMS IN THE ISE SUSTAINABILITY INDEX

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.

Abstract

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.

Yazarlar

Belma ARSLAN

Anahtar Kelimeler

ISESI, Sustainability, Sustainability Index, Event Study, Efficient Market Hypothesis

JEL Codes

G14, Q56

Yayın Bilgileri

Cilt 3, Sayı 1, 2023 · Sayfa 11-20

DOI: 10.52898/ijif.2023.2

Dosyalar