An analysis of United States on Dow Jones Sustainability Index
| Autor: | Eleni Zafeiriou, Xanthi Partalidou, Nikolaos Sariannidis, Grigoris Giannarakis |
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| Rok vydání: | 2016 |
| Předmět: |
Economics and Econometrics
021103 operations research Information retrieval Index (economics) business.industry Strategy and Management 05 social sciences 0211 other engineering and technologies Scopus Library science 02 engineering and technology Environmental Sustainability Index lcsh:Finance lcsh:HG1-9999 0502 economics and business Economics Business and International Management business Publication 050203 business & management Finance |
| Zdroj: | Investment Management & Financial Innovations, Vol 13, Iss 3, Pp 353-361 (2016) |
| ISSN: | 1812-9358 1810-4967 |
| DOI: | 10.21511/imfi.13(3-2).2016.07 |
| Popis: | This paper examines the effect of various economic and financial indicators on the Dow Jones Sustainability Index (DJSI) returns. In particular, four explanatory variables are employed, namely United States (US) 10 Year bond value, gold price, Trade Weighted U.S. Dollar Index and Consumer Sentiment Index calculated by Michigan University. A generalized autoregressive conditional heteroskedasticity (GARCH) model is applied over DJSI United States which incorporates socially responsible companies for the period August, 1999 to May, 2016 using monthly data. The empirical results indicate that the consumer sentiment and the bond market exert positive impact on the DJSI US, whereas the gold and currency market affects it negatively. In addition, the structural analysis of DJSI US returns volatility showed that the US trade balance has a stabilizing effect on the conditional variance of the DJSI US return series. JEL Classification: G1, F2, Q40, M21. Keywords: Dow Jones Sustainability Index, bond value, gold, exchange rate, consumer sentiment |
| Databáze: | OpenAIRE |
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