Short-term effects of sustainability index on firms' share returns: BIST sustainability index example

In this study, research was conducted to determine the short-term effects of the 38 companies listed in Borsa Istanbul on the stocks of the companies that gained the right to enter the BIST sustainability index in the 2017-2023 periods after being included in the index. Event Study method, which is frequently preferred in financial research, was used to analyze the changes in the returns of stocks in the period after they entered the index. In the research, each period was considered individually, researched and evaluated. As a result of the research, no significant results were found between 2017 and the fourth quarter of 2022. In 2023, positive and significant results were detected only in the first trimester. No meaningful results were achieved in other periods of 2023. In general, it has been observed that inclusion in the sustainable index does not create positive abnormal returns on the stocks of companies.