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Title Persistence in ESG and conventional stock market indices
Authors Caporale, G.M.
Gil-Alana, L.
Plastun, Oleksii Leonidovych  
Makarenko, Inna Oleksandrivna  
Keywords Stock market
ESG
Persistence
Long Memory
R/S Analysis
Fractional Integration
Type Article
Date of Issue 2022
URI https://essuir.sumdu.edu.ua/handle/123456789/87784
Publisher Springer Nature
License Creative Commons Attribution 4.0 International License
Citation Caporale, G.M., Gil-Alana, L., Plastun, A. et al. Persistence in ESG and conventional stock market indices. J Econ Finan (2022). https://doi.org/10.1007/s12197-022-09580-0
Abstract 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 signifcant diferences 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 efcient and thus ofer more opportunities for proftable trading strategies. Possible explanations for these fndings include diferent type of companies’ ‘camoufage’ and ‘washing’ (green, blue, pink, social, and Sustainable Development Goals—SDG) in the presence of rather lax regulations for ESG reporting.
Appears in Collections: Наукові видання (ННІ БіЕМ)

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