Risk-return and Volatility analysis of Sustainability Index in India

Sudha, S.

doi:10.1007/s10668-014-9608-8

Cited by 55 publications

(57 citation statements)

References 20 publications

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“…Hindistan piyasasına dair, Sudha (2015), S&P ESG Hindistan endeksi ile kıyaslama endeksleri olarak Nifty ve S&P CNX 500 endekslerinin performanslarını karşılaştırdığı çalışmasında, Ocak 2005 -Eylül 2012 dönemini araştırmıştır. Jensen alfasının her iki kıyaslama endeksi için de pozitif bir değere sahip olduğunu (bunlardan birisi istatistiksel olarak anlamlı olmak üzere), her iki beta değerinin ise 1'den düşük olup istatistiksel olarak anlamlı olduğunu ortaya koymuştur.…”

Section: Literatür Araştırmasıunclassified

“…(2012), Brezilya sürdürülebilirlik endeksi ile kıyaslama endeksi olan Bovespa'ya dair, Jensen alfası değerinin pozitif ve istatistiksel olarak anlamlı olduğunu (finansal kriz dönemi bir kenara bırakılmak üzere) tespit etmişlerdir. Sudha (2015) ise, ESG Hindistan sürdürülebilirlik endeksi performansının Nifty endeksinden anlamlı bir şekilde farklılaşmadığını, CNX 500 endeksinden ise farklılaştığını (çalışmasındaki Jensen alfası değerleri pozitif olsa da oldukça düşüktür) belirlemiştir. Öte yandan elde edilen bulgular, Ortas vd.…”

Section: Araştırma Bulgularıunclassified

“…Bu sorunun cevabı, Schröder (2007) Schröder (2007), uluslararası sürdürülebilirlik endekslerinden sadece 8 tanesinin finansal çıktısının kıyaslama endekslerinden farklı olmadığını tespit etmiştir. Elde edilen bu bulgu Sudha (2015)'nın bulgularından farklılaşmaktadır. Sudha (2015), risk ve getiri perspektifinde (katsayıların birleşik anlamlılığının test edilmesine gerek kalmaksızın), ESG Hindistan sürdürülebilirlik endeksinin hem Nifty hem de CNX 500 endekslerinden daha iyi bir getiriyi daha düşük bir riskle sağladığını belirlemişlerdir.…”

Section: Tablo: 1 Sürdürülebilirlik Endeksi Ve Bist100 Endeksi Getiriunclassified

“…Sosyal sorumlu yatırımların ekonomik geçerliliği ile ilgili iki farklı görüşün varlığından bahsedilebilir (Sudha, 2015). Bu bağlamda, ilk görüşe göre, SRI, yatırımcılar için bir kazan-kazan durumu yaratmaktadır, nitekim yatırım sürecinde finansal ve sosyal seçimleme ile yatırımcılar değerlerinden taviz vermeden refahlarını artırabilmektedir.…”

Section: Introductionunclassified

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The Performance Characteristic of Borsa Istanbul Sustainability Index

Gök

Özdemir

2017

Sosyoekonomi

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In this study, the performance of Borsa Istanbul Sustainability Index is compared with the benchmark index (BIST100 index) and the period between November 4, 2014 and December 30, 2016 is investigated. In the perspective of risk-adjusted return analysis, the Sharpe ratio for Sustainability Index is higher than BIST100 index. Also, Jensen alpha is positive although near zero and statistically not significant. Hence, the performance of Sustainability Index is not systematically different from BIST100 index. Beta value is above 1 and statistically significant, which means that the risk of Sustainability Index is significantly higher than BIST100 index. According to the results for the joint hypothesis in the context of risk and return, the financial output of Sustainability Index is significantly different from BIST100 index. EGARCH (1,1) estimation results for the conditional volatility modelling of indices demonstrate that for both indices the volatility persistence is high and negative shocks have greater influence on the volatility than positive shocks. These results indicate that leaving aside the investors's personal values, there is no financial incentives for investors in terms of financial output of Sustainability Index. However, the response of the investors can differentiate in time considering that the Sustainability Index is created recently, the socially responsible investment approach is relatively new and the awareness regarding the subject can be increased.

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Section: Literatür Araştırmasıunclassified

Section: Araştırma Bulgularıunclassified

Section: Tablo: 1 Sürdürülebilirlik Endeksi Ve Bist100 Endeksi Getiriunclassified

Section: Introductionunclassified

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The Performance Characteristic of Borsa Istanbul Sustainability Index

Gök

Özdemir

2017

Sosyoekonomi

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“…Ang (2015) found that the performance of the sustainable investment portfolio represented by the Dow Jones Sustainability Index-Korea (DJSIK) is higher than most of the conventional portfolios in Korea. Sudha (2015) studied on the sustainability index (S&P ESG India Index) on the Indian Stock Exchange. She compared the sustainability index performance with the two major market indices using daily index data, and also analyzed volatility.…”

Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

Sustainability Indices in the Financial Markets, Performance and Intraday Volatility Analysis: The Case of Turkey

Levent

2019

isarder

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Purpose -In the financial markets, especially the institutional investors' interest in funds and portfolios composed of sustainable companies accelerated the formation of sustainability indices. In this context, this study aims to examine the sustainability indices in financial markets and compare the performance of Borsa İstanbul Sustainability Index (XUSRD) with benchmark indices. In this study, unlike other studies in the literature, not only return performance and risk, but also intraday volatility were analyzed.Design/methodology/approach -The research period is between November 4, 2014 and October 31, 2018. The performance of the XUSRD was compared with market indices (XU100, XUTUM and XTUMY) and the Corporate Governance Index (XKURY). Average daily return of indices were used for return performance. Risk factor was analyzed on models established according to CAPM. Intraday volatility was calculated following to the method proposed by Parkinson (1980) and adapted by Corrado and Truong (2007).Findings -Research findings show that average daily return of XUSRD index is not different from market indices and XKURY index. However, when intraday volatility is examined, it was found that XUSRD was more volatile than the market indices XUTUM and XTUMY. In the three regression models established according to CAPM, Jensen α values were not significant, however, β values of XUSRD were found to be higher than 1 and statistically significant.

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Do socially responsible indices outperform conventional indices? Evidence from before and after the onset of Covid‐19

Jonwall,

Gupta,

Pahuja

2024

Corp Soc Responsibility Env

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According to traditional portfolio theories constraints, restrictions, and screens applied in portfolio selection reduces the diversification opportunities which can impact financial performance. Is this true in the case of socially responsible investment (SRI)? To answer this, present study analyzes the performance of Socially Responsible (SR) indices in comparison to conventional indices in an emerging economy. The uniqueness of the study is that it analyses the performance of Shariah, ESG, and thematic indices in a single study. Further, the study measures the impact of Covid‐19 on them. Comparative performance evaluation was conducted by using absolute return analysis and risk‐adjusted measures namely, Sharpe ratio, Treynor ratio, tracking error, information ratio, capital asset pricing model (CAPM), Fama–French three‐factor, and Carhart's four‐factor models. The Structural break was identified, hence analysis was conducted for the total period (January 2017–March 2023) and two sub‐periods, that is, pre and post‐Covid‐19 period. No significant difference was found between the returns of SR indices and conventional indices as against the benchmark index on the basis of absolute return analysis. Sharpe ratio and Treynor ratio both were having negative values for all the SR and conventional indices. Tracking error for all the SR and Conventional indices were very low. The CAPM and both multi‐factor models univocally pointed toward the underperformance of all the SR (except S&P BSE 100 ESG index which had equal performance) and both conventional indices against the benchmark index. Noteworthy point is that only Shariah indices gave the highest returns during post‐Covid period. This research will help in deepening the SRI in the capital market. Companies should increase their ESG scores and make efforts to be listed on the SR indices. Policymakers should announce some kind of rebates, or recognition for star‐performing companies in the field of sustainability to encourage other companies to adopt SR practices in their business operations. The novelty of the current study is that it adds to the socially responsible literature by analyzing the performance of Shariah, ESG, and Thematic indices and conventional indices in a single study in the fastest‐growing economy of India and analyses the impact of Covid‐19 on this performance.

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Risk-return and Volatility analysis of Sustainability Index in India

Cited by 55 publications

References 20 publications

The Performance Characteristic of Borsa Istanbul Sustainability Index

The Performance Characteristic of Borsa Istanbul Sustainability Index

Sustainability Indices in the Financial Markets, Performance and Intraday Volatility Analysis: The Case of Turkey

Do socially responsible indices outperform conventional indices? Evidence from before and after the onset of Covid‐19

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