Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices

Plastun, Alex; Bouri, Elie; Gupta, Rangan; Ji, Qiang

doi:10.1016/j.najef.2021.101572

Cited by 27 publications

(24 citation statements)

References 46 publications

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“…If ESG indices exhibit the same return patterns as conventional indices, we infer that behavioral market-wide explanations of seasonality patterns prevail; otherwise differences in ESG investor patterns (such as in Cao et al, 2020) may be the explanation. Based on the efficient market hypothesis and the recent empirical studies confirming that ESG and conventional stock indices exhibit similar stochastic behavior and return persistence (Caporale et al, 2021;Gregory, 2021;Plastun et al, 2022), we hypothesize that ESG indices exhibit monthly seasonal patterns that are similar to their conventional counterparts.…”

Section: Introductionmentioning

confidence: 88%

“…Based on the efficient market hypothesis and the recent empirical studies confirming that ESG and conventional stock indices exhibit similar stochastic behavior and return persistence (Caporale et al. , 2021; Gregory, 2021; Plastun et al. , 2022), we hypothesize that ESG indices exhibit monthly seasonal patterns that are similar to their conventional counterparts.…”

Section: Introductionmentioning

confidence: 90%

“…Using the Hurst exponent to compare the efficiency of MSCI ESG Leader indices from 16 countries to that of MSCI Standard indices, Gregory (2021) determines that due to their composition, ESG indices are as efficient as their conventional counterparts. Along the same vein of research, Plastun et al (2022) study price effects after oneday abnormal returns in ESG indices and their conventional counterparts, and show no statistically significant difference between the two groups. While these studies examine shorterterm return persistence in ESG indices, researchers have not yet considered other strands of the literature testing the efficient market hypothesis (EMH) such as monthly seasonality-based trading strategies involving ESG indices.…”

Section: Introductionmentioning

confidence: 96%

Section: Introductionmentioning

confidence: 97%

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The Sell-in-May effect in ESG indices

Pavlova

Whitworth

Boyrie

2022

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PurposeThis study explores the “Sell-in-May” effect in environmental, social and governance (ESG) indices and compares the seasonal effects in ESG equity indices with conventional equity indices.Design/methodology/approachThe authors use ordinary least squares (OLS) models and M-estimation as a robustness check, as OLS estimates may be sensitive to outliers. The authors also employ bootstrap simulations to use the data efficiently and to test whether seasonal trading strategies can produce abnormal returns.FindingsThe regression results reveal that seasonal effects in USA ESG equity indices are similar to those in conventional equity indices. Higher returns are noticeable from November through April, mainly in ESG indices including small and medium capitalization stocks. When the authors extend the Sell-in-May strategy from October through April, the authors find that the seasonal effect is significant for multiple ESG indices, even after accounting for the January effect. Bootstrap simulations show that the Sell-in-May and Extended Sell-in-May strategies appear to beat a buy-and-hold strategy on a risk-adjusted basis and that this result is stronger in medium and small capitalization ESG indices.Originality/valueAlthough previous research has considered the effectiveness of seasonal equity trading strategies and the general performance of ESG stocks, this is the first study to specifically examine the “Sell in May” effect in ESG indices. The authors also consider an “Extended” Sell-in-May strategy where stocks are purchased one month earlier and show that the strategy produces higher returns.

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Section: Introductionmentioning

confidence: 88%

Section: Introductionmentioning

confidence: 90%

Section: Introductionmentioning

confidence: 96%

Section: Introductionmentioning

confidence: 97%

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The Sell-in-May effect in ESG indices

Pavlova

Whitworth

Boyrie

2022

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“…Stakeholders and regulators agree that additional social and environmental laws must be integrated to promote sustainability (Chouaibi et al, 2022). There are no substantial differences between ESG and traditional indices (Plastun et al, 2022). There was not enough evidence for ESG factors to be a good complement to FF5 and PFPs, but they may be used as ESG indices, to measure investment portfolio sustainability risks (Naffa and Fain 2022).…”

Section: Introductionmentioning

confidence: 99%

Dynamics of Volatility Spillover between Energy and Environmental, Social and Sustainable Indices

Babu

Lourdesraj

Hariharan³

et al. 2022

IJEEP

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The purpose of this research was to examine the dynamics of volatility spillover between energy and environmental, social, and sustainable indices. COVID19 prompted the research to select April 2019 to March 2022 as a sample period, and the respective data (Daily Prices) of the Nifty Energy and Nifty ESG indices were obtained from the National Stock Exchange of India Limited. The outcomes of the study confirmed that the daily returns of Nifty Energy and Nifty 100 ESG indices were not normally distributed and reached stationarity at level difference. Further, the study employed GARCH Models such as ARCH, GARCH (1,1), and GARCH-M to determine conditional volatility, and it validated the ARCH influence on the daily returns of the Nifty Energy and Nifty 100 ESG, during the study period

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The impact of digital inclusive finance on corporate ESG performance: based on the perspective of corporate green technology innovation

Pang

2023

Environ Sci Pollut Res

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Enterprises are important subjects in the transformation of national green development, while financial support is an important thrust to promote the fulfillment of environmental responsibility. In the dual context of building a digital inclusive financial system and green transformation of corporate production, this paper explores the impact of digital inclusive finance on corporate ESG performance and its mechanism of action through theoretical and empirical analyses using data of Chinese A-share listed enterprises from 2011 to 2020. It is found that the development of digital inclusive finance significantly contributes to the improvement of corporate ESG performance, and the impact of digital inclusive finance on corporate ESG performance has a marginal decreasing effect, while corporate green technology innovation has a marginal increasing effect on corporate ESG performance. The mechanism analysis found that corporate green technology innovation has a mediating effect. The development of digital inclusive finance can enhance the green technology innovation ability of enterprises, and the green technology innovation of enterprises enhances the green sustainability ability of enterprises and improves the ESG performance of corporates. Further research shows that the effects of digital inclusive finance and corporate green technology innovation on corporate ESG performance are industry heterogeneous and pollution degree heterogeneous. How to promote financial services to better promote the combination of corporate green development and fulfillment of social and environmental responsibility is the most direct research implication of this paper.

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Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices

Cited by 27 publications

References 46 publications

The Sell-in-May effect in ESG indices

The Sell-in-May effect in ESG indices

Dynamics of Volatility Spillover between Energy and Environmental, Social and Sustainable Indices

The impact of digital inclusive finance on corporate ESG performance: based on the perspective of corporate green technology innovation

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