Abstract
This study investigates the reaction of investors to the announcement of firms included in BIST Sustainability Index. Stock returns of BIST 50 firms, which are also constituents of BIST Sustainability Index, with those of BIST 50 firms that could not qualify for inclusion in BIST Sustainability Index, are compared. Based on mean/median tests, no significant difference between various returns of two groups of firms is found. Except for interval 0 to +4 days, the findings of event study indicates no significant abnormal returns for BIST Sustainability Index Constituents in the event window of 10 days surrounding the announcement day, but indicates significant positive cumulative abnormal returns for intervals 0 to +4 days, 0 to +5 days, 0 to +7 days, 0 to +8 days, 0 to +9 days and 0 to +10 days, which is an indication that investors valued the BIST Sustainability Index Constituents a few days after the announcement by investing in the stocks of these firms.
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