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Title: | Persistence in ESG and conventional stock market indices |
Authors: | Caporale, GM Gil-Alana, LA Plastun, A Makarenko, I |
Keywords: | stock market;ESG;persistence;long memory;R/S analysis;fractional Integration |
Issue Date: | 7-May-2022 |
Publisher: | Springer Nature |
Citation: | Caporale, G.M., Gil-Alana, L.A., Plastun, A. and Makarenko, I. (2022) 'Persistence in ESG and conventional stock market indices', Journal of Economics and Finance, 46 (4), pp. 678 - 703. doi: 10.1007/s12197-022-09580-0. |
Series/Report no.: | CESifo Working Papers;No. 9098 |
Abstract: | Copyright © The Authors 2022. This paper uses R/S (Rescaled Range) analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG (Environmental, Social and Governance) and conventional stock price indices from the MSCI ((Morgan Stanley Capital International) database over the period 2007–2020 for a large number of both developed and emerging markets. Both sets of results imply that there are no significant differences between the two types of indices in terms of the degree of persistence and its dynamic behaviour. However, higher persistence is found for the emerging markets examined (especially the BRICS, i.e. Brazil, Russia, India, China and South Africa), which suggests that they are less efficient and thus offer more opportunities for profitable trading strategies. Possible explanations for these findings include different type of companies’ ‘camouflage’ and ‘washing’ (green, blue, pink, social, and Sustainable Development Goals—SDG) in the presence of rather lax regulations for ESG reporting. |
URI: | https://bura.brunel.ac.uk/handle/2438/24489 |
DOI: | https://doi.org/10.1007/s12197-022-09580-0 |
ISSN: | 1055-0925 |
Other Identifiers: | ORCID iD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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