Sustainability Index and Stock Performance: An Empirical Study on Banks Operating in Türkiye

This study investigates the impact of inclusion in the BIST Sustainability Index on stock prices of banksoperating in Türkiye. In the analysis, conducted with monthly panel data from January 2013 to May 2025,short- and long-term dynamics are examined using the Panel Fourier ARDL model. Trading volume, inflation,and the policy rate are included as control variables, while Fourier terms are employed to capture structuralbreaks. The empirical findings reveal that inclusion in the sustainability index has a statistically significant andpositive impact on stock prices in the short term, indicating that investors consider inclusion as a positivemarket signal. Trading volume is found to be the strongest determinant of stock prices in the short and longterm, while inflation has a positive but weak long-term effect, and the policy rate has no significant effect. Theresults demonstrate that inclusion in the sustainability index enhances market confidence and stock valuations,while also highlighting the growing role of sustainability in shaping financial performance in emergingfinancial markets like Türkiye, offering important implications for policy makers, investors, and bankmanagers.