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Author: Omay, TolgaPublisher: Elsevier

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    Dynamic Market Efficiency Assessment in Sustainability Indices: Rolling Fractional Integration Analysis with Multiple Estimators
    (Elsevier, 2025) Gonul, Ibrahim Omer; Omay, Tolga
    This study develops a comprehensive econometric framework for assessing market efficiency in sustainability indices through rolling fractional integration analysis. We employ four fractional integration estimators (Andrews-Guggenberger, Robinson GSE, GPH, and FELW) with formal statistical testing, addressing critical methodological gaps including single estimator dependency and static analysis approaches. Applied to 17 sustainability indices across 13 countries, our results reveal significant heterogeneity in market efficiency evolution. Developed markets exhibit timevarying efficiency patterns with periodic inefficiencies driven by institutional rebalancing dynamics, while emerging markets demonstrate superior efficiency characteristics. The BIST Sustainability Index exhibits exceptional efficiency, while the SP 500 ESG Screened Index shows the highest inefficiency levels among developed markets. The convergent validity between fractional integration and traditional unit root tests provides robust methodological validation. Our findings establish unprecedented robustness in sustainability market efficiency research while providing policy implications for financial regulators and investment managers.
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    Citation - WoS: 21
    Citation - Scopus: 26
    Convergence of Per Capita Energy Consumption Around the World: New Evidence From Nonlinear Panel Unit Root Tests
    (Elsevier, 2022) Romero-Avila, Diego; Omay, Tolga
    This paper investigates the existence of stochastic and deterministic convergence in per capita energy consumption among the countries forming four income-level groups and a full sample of 110 countries over the 1971-2019 period. For that purpose, we employ six state-of-the-art nonlinear panel unit root tests with nonlinear dynamics that range from state-dependent nonlinearities such as ESTAR, AESTAR and TAR dynamics to timedependent nonlinearities of structural break form. We find consistent evidence supporting stochastic convergence among high-income and upper-middle-income countries according to two of the six panel tests. Concerning the stronger notion of deterministic convergence, three tests point to deterministic convergence among high-income countries, and only one supports this hypothesis among upper-middle-income countries. Lack of convergence across all country groups carries important policy implications concerning the achievement of SDG7 of the global 2030 Agenda for Sustainable Development that affects every single country in the planet.