|Title||Market efficiency of traditional stock market indices and social responsible indices: the role of sustainability reporting|
Plastun, Oleksii Leonidovych
Makarenko, Inna Oleksandrivna
соціально відповідальні індекси
социально ответственные индексы
social responsible indices
звітність зі сталого розвитку
отчетность по устойчивому развитию
|Date of Issue||2017|
|Publisher||LLC “Consulting Publishing Company “Business Perspectives”|
|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.|
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.
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|Mynhardt_Plastun.pdf||425,34 kB||Adobe PDF||228|
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