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Title Market efficiency of traditional stock market indices and social responsible indices: the role of sustainability reporting
Authors Plastun, Oleksii Leonidovych  
Makarenko, Inna Oleksandrivna  
Mynhardt, H.
Keywords довгтсрокова пам'ять
долгосрочная память
long-term memory
соціально відповідальні індекси
социально ответственные индексы
social responsible indices
звітність зі сталого розвитку
отчетность по устойчивому развитию
sustainability reporting
Type Article
Date of Issue 2017
URI http://essuir.sumdu.edu.ua/handle/123456789/65641
Publisher LLC “Consulting Publishing Company “Business Perspectives”
License
Citation Mynhardt, H. Market efficiency of traditional stock market indices and social responsible indices: the role of sustainability reporting [Text] / H. Mynhardt, A. Plastun, I. Makarenko // Investment Management and Financial Innovations. 2017. - Vol. 14, Issue 2. - P. 94-106.
Abstract Corporate social responsibility, disclosed in sustainability reporting, influences the financial performance of companies. As a result, traditional stock market indices (TI) are expanded with the social responsible stock market indices (SRI). The aim of this study was to establish whether there are any differences in the behaviour of the TI and SRI. To do this we analysed their efficiency. We used R/S analysis to calculate the Hurst exponent as a measure of persistence (long-term memory property). The presence of persistence was evidence in favour of less efficiency. According to empirical results, SRI has lower efficiency, in particular the Dow Jones Sustainability Index. Lower efficiency was also observed in the emerging markets with a responsible investment segment, compared to the traditional stock market indices. Further standardisation and a common methodological approach to corporate sustainability reporting disclosure are proposed.
Appears in Collections: Наукові видання (ННІ БТ)

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