Comparative Analysis of Dynamic Volatility in ESG Stock Indices A TGARCH Model Approach in Egypt and Turkey

نوع المستند : المقالة الأصلية

المؤلف

قسم ادارة الاعمال، كلية العلوم الإدارية، أكاديمية السادات

المستخلص

This study assesses the dynamic volatility of Environment, Social, and Governance (ESG) stock indices in the Egyptian and Turkish stock exchange markets using the Threshold GARCH (TGARCH) model. The research aims to fill a gap in the literature by examining the asymmetric volatility behavior of ESG indices in emerging markets. The study employs daily data for the benchmark EGX30 index and the S&P/EGX ESG index in Egypt, and the BIST 100 index and the BIST Sustainability 25 index in Turkey, covering periods from January 2020 to January 2025. The findings reveal that the Egyptian S&P/EGX ESG index exhibits significant short-term volatility with notable persistence in long-term volatility, while the EGX30 index shows even stronger long-term persistence. In Turkey, the BIST Sustainability 25 index shows pronounced short-term volatility and long-term persistence, whereas the BIST 100 index has a more pronounced short-term impact but lower long-term persistence. The results suggest that ESG investments in Egypt offer higher returns with manageable short-term volatility, making them attractive for long-term investors. Conversely, in Turkey, short positions in ESG stocks might be safer due to lower long-term volatility persistence. These findings contribute to the ESG theory by highlighting the importance of considering both short-term and long-term risk dynamics when making investment decisions.

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