Journal of Business & Economic Policy

The Effects of Trading at Sustainability Index on Stocks’ Abnormal Returns: Evidence from BIST Sustainability Index in Turkey
Hakan ALTIN, Ömer YAZAN

Abstract
The main purpose of this study is to evaluate the performance of stocks that quoted on Borsa Istanbul Sustainability Index (BIST SURD) and to explain its other possible effects on these stocks. In the first stage of research, stock returns of BIST SURD and BIST 100 Index -that represents the market- have been calculated to determine abnormal stock return. In the second stage, Wald Wolfowitz Test (W-W), Kolmogorov-Smirnov (K-S) Test and Levene Test have been implemented to confirm statistical significance of results. In the third stage, correlation matrix has been calculated to determine the relationship between BIST SURD and BIST 100 Index. These results show that, there is a price anomaly in Turkey stock market to the contrary of efficient market hypothesis. Trading at BIST SURD Index has no significant influence on companies’ performance. Thus, trading at BIST SURD for companies, creates an intuitional effect for investors

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