Analysis of the connectedness relationship between Borsa İstanbul Sustainability Index and global volatility indices

Abstract This study investigates the dynamic relationships between the Borsa İstanbul Sustainability Index (XUSUR), Chicago Board Options Exchange Volatility Index (VIX), Crude Oil Volatility Index (OVX), and Merrill Lynch Option Volatility Estimate (MOVE) using daily data from January 2, 2016, to June 26, 2025. Employing the R 2 ‐based connectedness framework, the analysis decomposes connectedness into contemporaneous and lagged components, thereby providing nuanced insights into the mechanisms of shock transmission. The findings reveal that XUSUR functions predominantly as a net shock receiver, exhibiting heightened vulnerability during crisis periods such as the COVID‐19 pandemic and the Russia–Ukraine war. Among the global volatility indices, the VIX exerts the strongest influence, followed by OVX and MOVE, while lagged effects are more pronounced than contemporaneous ones. This indicates that Turkey's sustainability markets not only respond to shocks immediately but also experience persistent vulnerabilities over time. The results suggest that XUSUR plays a limited role as a shock transmitter, underscoring its dependence on global financial fluctuations and its limited capacity to act as an independent shock generator.