Comparative analysis of airports in terms of financial volatility according to sustainability reports

Volatility has been one of the most important factors affecting the investment decision process in financial markets. The aim of this study is to analyze the volatility of stock returns of public airports based on the publishing criteria of sustainability reports. The sustainability report gained importance after the 1987 Brundtland Report and the global sustainability standard studies carried out by KMPG afterward. Investors have started to evaluate sustainability reports, not only focusing on financial data while making decisions. Sustainability reporting; environment, economy, social and financial issues are divided into categories and its scope has been expanded. Sustainability reporting has been given importance by investors and has reached a point where it cannot be ignored in investment decisions. In financial markets, there are various econometric models for investors to evaluate risk and return. In this study, analyzes were made on ARCH, GARCH, TARCH, EGARCH and, GARCH-M models by using the return series created by the shares. In the analysis part of the study, the sustainability reporting criterion was made and the logarithmic returns of the stocks between 05.01.2016 and 31.12.2021 were analyzed with econometric models. While selecting the sample, a total of six airports were selected, three airports that published sustainability reports and three airports that did not publish sustainability reports. The research has limitations in this regard, as there are a number of airports that do not publish a sustainability report. Past daily return series of the shares of the relevant airports were obtained from the investing.com website and analyzed with the help of Eviews 10 program. According to the findings of the study, it was concluded that the investors were affected by negative shocks for the airport shares that published a sustainability report, while for the airport shares that did not publish a sustainability report, negative shocks caused volatility clusters by increasing volatility, and investors were more sensitive to negative shocks. In summary, it can be evaluated that airports that publish sustainability reports are one step ahead in terms of both their corporate image and investor confidence, and as a result, are preferred in terms of investment should be seen as a benefit provided by institutionalism.