Affiliation:
1. Suleyman Demirel University, Turkey
Abstract
Borsa Istanbul Sustainability Index (XUSRD) was launched on November 4, 2014. Initially, there were 15 firms in the index. This number grew to 56 as of December 2019. This study aims to investigate whether the firms' inclusion in or exclusion from XUSRD affect their trading volume. Both the effects of the announcement days and the effective days of the index changes were considered, and six index events that occurred between Nov 2014 and Dec 2019 were studied. On the effective days and their subsequent days, there were no significant trading volume changes for both included and excluded firms. On the announcement days, the trading volume increased for the included firms and decreased for the excluded firms, though only the experience of the deleted firms was statistically significant. Therefore, there was an asymmetric response to additions and deletions. In addition, the index effect on the included and excluded firms was temporary, which supports the price pressure hypothesis.