Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/24489
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dc.contributor.authorCaporale, GM-
dc.contributor.authorGil-Alana, LA-
dc.contributor.authorPlastun, A-
dc.contributor.authorMakarenko, I-
dc.date.accessioned2022-04-24T21:02:39Z-
dc.date.available2022-04-24T21:02:39Z-
dc.date.issued2022-05-07-
dc.identifierORCID iD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135-
dc.identifier.citationCaporale, 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.en_US
dc.identifier.issn1055-0925-
dc.identifier.urihttps://bura.brunel.ac.uk/handle/2438/24489-
dc.description.abstractCopyright © 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.-
dc.description.sponsorshipMinisterio de Ciencia y Tecnología (ECO2014-55236); Ministry of Education and Science of Ukraine (0121U100473).en_US
dc.format.extent678 - 703-
dc.format.mediumPrint-Electronic-
dc.language.isoen_USen_US
dc.publisherSpringer Natureen_US
dc.relation.ispartofseriesCESifo Working Papers;No. 9098-
dc.relation.urihttps://www.econstor.eu/bitstream/10419/235468/1/cesifo1_wp9098.pdf-
dc.rightsCopyright © The Authors 2022. Rights and permissions: Open Access. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit https://creativecommons.org/licenses/by/4.0/.-
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/-
dc.subjectstock marketen_US
dc.subjectESGen_US
dc.subjectpersistenceen_US
dc.subjectlong memoryen_US
dc.subjectR/S analysisen_US
dc.subjectfractional Integrationen_US
dc.titlePersistence in ESG and conventional stock market indicesen_US
dc.typeArticleen_US
dc.identifier.doihttps://doi.org/10.1007/s12197-022-09580-0-
dc.relation.isPartOfJournal of Economics and Finance-
pubs.issue4-
pubs.publication-statusPublished-
pubs.volume46-
dc.identifier.eissn1938-9744-
dc.rights.holderThe Authors-
Appears in Collections:Dept of Economics and Finance Research Papers

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