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Persistence in ESG and Conventional Stock Market Indices

Author

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  • Guglielmo Maria Caporale
  • Luis A. Gil-Alana
  • Alex Plastun
  • Inna Makarenko

Abstract

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI 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 significant differences 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), which suggests that they are less efficient and thus offer more opportunities for profitable trading strategies. Possible explanations for these findings include different type of companies’ ‘camouflage’ and ‘washing’ (green, blue, pink, social, and SDG) in the presence of rather lax regulations for ESG reporting.

Suggested Citation

  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko, 2021. "Persistence in ESG and Conventional Stock Market Indices," CESifo Working Paper Series 9098, CESifo.
    • Handle: RePEc:ces:ceswps:_9098
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    Cited by:

    1. Kohnert, Dirk, 2023. "Moral Money in Sub-Saharan Africa? On ensuring ethics to drive sustainable investment," MPRA Paper 117779, University Library of Munich, Germany.
    2. Kohnert, Dirk, 2023. "La monnaie morale en Afrique subsaharienne ? Garantir l'éthique pour favoriser l'investissement durable [Moral Money in Sub-Saharan Africa? On ensuring ethics to drive sustainable investment]," MPRA Paper 117780, University Library of Munich, Germany.

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    More about this item

    Keywords

    stock market; ESG; persistence; long memory; R/S analysis; fractional integration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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