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The Impact of Dow Jones Sustainability Index on US Dollar Value

Author

Listed:
  • Grigoris Giannarakis

    (Department of Business Administration, Western Macedonia University of Applied Sciences, 6 km Paleas E.O Grevenon Kozanis, 51100, Grevena, Greece,)

  • Alexandros Garefalakis

    (Department of Accounting and Finance, Technological Education Institute of Crete, Estavromenos 71004 Iraklio, Greece,)

  • Christos Lemonakis

    (Msc in Accounting and Auditing, Western Macedonia University of Applied Sciences, 50100, Kila - Kozani, Greece,)

  • Nikolaos Sariannidis

    (Department of Accounting and Finance, Western Macedonia University of Applied Sciences, 50100, Kila - Kozani, Greece.)

Abstract

The scope of this study is to address the impact of stock index returns on exchange rate. In particular, it aims to fill the literature gap regarding the determinant role of socially responsible companies on the exchange rate Trade Weighted U.S. Dollar Index to Major Currencies as a proxy for US dollar value. For this reason, the Dow Jones Sustainable Index World as a proxy for the world's leading companies in terms of economic, environmental and social criteria. A generalized autoregressive conditional heteroskedasticity model is employed over US dollar value to major currencies for the period January, 1999 - May, 2016 using monthly data. A number of control variables were introduced in the proposed model, namely oil prices, US interest rate, US supply money, trade balance and consumer confidence. The empirical results revealed the negative impact of stock returns of socially responsible companies on US dollar value inconsistent with proposed empirical literature. The results have significant implications for investors, portfolio managers and policymakers hedging on diversification strategies for their portfolios.

Suggested Citation

  • Grigoris Giannarakis & Alexandros Garefalakis & Christos Lemonakis & Nikolaos Sariannidis, 2017. "The Impact of Dow Jones Sustainability Index on US Dollar Value," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 556-561.
  • Handle: RePEc:eco:journ1:2017-02-74
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    Cited by:

    1. Christos Lemonakis & Nikolaos Sariannidis & Alexandros Garefalakis & Anastasia Adamou, 2020. "Visualizing operational effects of ERP systems through graphical representations: current trends and perspectives," Annals of Operations Research, Springer, vol. 294(1), pages 401-418, November.

    More about this item

    Keywords

    Exchange Rate; Dow Jones Sustainability Index; Returns;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • F2 - International Economics - - International Factor Movements and International Business
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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