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Forecasting of Net Asset Value of selected Environmental, Social and Governance (ESG) Mutual Funds in India using ARIMA Model

Author

Listed:
  • A. Akhileshwari

    (KL Business School, KLEF, Vaddeswaram, Guntur, Andhra Pradesh)

  • B. Kishore Babu

    (KL Business School, KLEF, Vaddeswaram, Guntur, Andhra Pradesh)

  • Rachana Saxena

    (Management Department, Jain University, Bangalore, Karnataka)

Abstract

After corporate governance and corporate social responsibility, ESG practises are the watchword in the Indian corporate environment. ESG is a far wider phrase than corporate governance and corporate social responsibility, as it encompasses a company's environmental, societal and corporate governance policies. ESG are the three pillars of performance that may be used to assess a company's influence on society and environmental sustainability. During the pandemic, these ESG-rated firms grew incredibly popular among investment portfolios. The investor's behaviour in these sustainable investments is also driven by the reputational benefits and a larger risk-reward ratio. It also assists investors in better understanding a firm and gaining insights into how it behaves, reacts, and evolves in response to numerous ESG aspects. Companies who do not adopt sustainable business strategies may find it difficult to raise both stock and loans in the future years. ESG compliance is required for every organisation that is operating well now and hopes to continue to do so in the future. Globally, there are over 3,300 ESG funds, which have quadrupled in the previous decade. This article studies about the sustainability rating, various ESG Mutual Funds in India, forecast the NAV of the ESG mutual funds using ARIMA.

Suggested Citation

  • A. Akhileshwari & B. Kishore Babu & Rachana Saxena, 2021. "Forecasting of Net Asset Value of selected Environmental, Social and Governance (ESG) Mutual Funds in India using ARIMA Model," Acta Universitatis Bohemiae Meridionalis, University of South Bohemia in Ceske Budejovice, Faculty of Economics, vol. 24(3), pages 95-106.
    • Handle: RePEc:boh:actaub:v:24:y:2021:i:3:p:95-106
    DOI: 10.32725/acta.2021.014
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    References listed on IDEAS

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    1. Helena Naffa & Máté Fain, 2020. "Performance measurement of ESG-themed megatrend investments in global equity markets using pure factor portfolios methodology," PLOS ONE, Public Library of Science, vol. 15(12), pages 1-34, December.
    2. Justyna Przychodzen & Fernando Gómez-Bezares & Wojciech Przychodzen & Mikel Larreina, 2016. "ESG Issues among Fund Managers—Factors and Motives," Sustainability, MDPI, vol. 8(10), pages 1-19, October.
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    More about this item

    Keywords

    Environmental; Social and Governance (ESG); India; Net Asset Value (NAV); forecast; ARIMA;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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