DOI: 10.26650/istjecon2026-1894274 ISSN: 2602-3954

Sustainability in the Real Estate Sector: An Econometric Analysis on the Dow Jones Developed Green Real Estate Index

Cansu Şarkaya İçellioğlu, Merve Engin Öztürk, Dilek Teksöz Akay
Show PDF Cite
This study examines a sustainability-oriented real estate market index representing firms committed to environmental sustainability principles and conducts a comparative analysis with a general market index. There are numerous studies in the literature that analyze the influence of Environmental, Social, and Governance (ESG) criteria on corporate financial performance. However, studies that reveal the extent to which sustainable real estate indices differ from conventional market indices, irrational price movements and the long-term effects of market shocks, remain limited. In response to this gap in the literature, this study evaluates the relationship between the Dow Jones Developed Green Real Estate Index, which embodies sustainable real estate firms, and the Dow Jones Developed Markets ex-U.S. Index, which characterizes the conventional market structure, through econometric techniques. The existence of irrational pricing is identified through the Monte Carlo-based right-tailed ADF test, while the persistence of information shocks is examined by applying the Lo Modified R/S, GPH, and Robinson tests. Long-run relationships between the indices are assessed through the Gregory-Hansen structural break cointegration test. The findings demonstrate structural breaks and bubble-like price behaviour in both indices; however, the Green Real Estate Index exhibits relatively more stable volatility and price dynamics and shows partial decoupling from the conventional market index. These results yield empirical evidence that sustainable real estate investments may contribute as a risk-mitigating component in portfolio diversification, thus offering a distinct contribution to the literature.

More from our Archive