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Volatility Analysis of Sustainability-Themed Japanese Equity Indices

Author

Listed:
  • Amane Saito

    (Graduate School of Economics, Osaka University)

  • Hisashi Tanizaki

    (Graduate School of Economics, Osaka University)

Abstract

In this paper, we analyze the return and volatility of portfolios based on Sustainability Themed Japanese Equity Index, which focuses on social (S) and environment (E) using the Stochastic Volatility (SV) model. The daily data of stock price from January 5, 2015 to October 29, 2021 are utilized. As a result of the analysis, it was confirmed that the asymmetry effect, which captures the increase in volatility after a stock price decline, is significantly smaller for the portfolio that take gender diversity into account. On the other hand, no effect of considering gender diversity was found for the holiday effect, the turn of the month effect, and U.S. volatility spillover effect. In addition, for the portfolio that take into account the information disclosure on corporate greenhouse gas (GHG) emissions, which is the theme of E, the asymmetry effect was confirmed tobe significantly smaller in Material industry as well.

Suggested Citation

  • Amane Saito & Hisashi Tanizaki, 2022. "Volatility Analysis of Sustainability-Themed Japanese Equity Indices," Discussion Papers in Economics and Business 22-01, Osaka University, Graduate School of Economics.
    • Handle: RePEc:osk:wpaper:2201
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    More about this item

    Keywords

    SV model; Sustainability themed Indices; Gender Diversity; Greenhouse Gas(GHG) emissions; Market Anomaly (asymmetry effect; holiday effect; turn of the month effect);
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility
    • Q50 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - General

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