IDEAS home Printed from https://ideas.repec.org/a/sgh/gosnar/y2024i1p60-72.html
   My bibliography  Save this article

Replikacja szerokiego rynku akcji Giełdy Papierów Wartościowych w Warszawie (GPW S. A.) z wykorzystaniem indeksu inwestycji odpowiedzialnych społecznie WIG-ESG

Author

Listed:
  • Jacek Tomaszewski

Abstract

Przedmiotem badania jest możliwość wykorzystania indeksu inwestycji społecznie odpowiedzialnych (etycznych) publikowanego przez Giełdę Papierów Wartościowych w Warszawie (GPW S. A.) do budowy pasywnych strategii inwestycyjnych. W celu weryfikacji hipotezy zbadano za pomocą narzędzi analizy portfelowej (odchylenie standardowe, współczynnik Sharpe’a, tracking error, współczynnik wariancji) zależności pomiędzy indeksem WIG-ESG a indeksem szerokiego rynku WIG. Badanie potwierdziło występowanie statystycznie istotnych silnych zależności pomiędzy kształtowaniem się indeksu WIG-ESG i indeksu WIG. Oznacza to, że indeks WIG-ESG może być traktowany jako benchmark do budowy pasywnych strategii inwestycyjnych, alternatywny wobec indeksu nieuwzgledniającego czynników ESG (environmental – social – governance). Główną praktyczną implikacją badania jest możliwość budowy na polskim rynku kapitałowym realnych strategii inwestycyjnych (w formie funduszy ETF, produktów strukturyzowanych itp.) łączących dwie zyskujące szybko popularność filozofie inwestycyjne – pasywne podejście do budowy portfela i dążenie do uwzględniania w jego konstrukcji czynników ESG.

Suggested Citation

  • Jacek Tomaszewski, 2024. "Replikacja szerokiego rynku akcji Giełdy Papierów Wartościowych w Warszawie (GPW S. A.) z wykorzystaniem indeksu inwestycji odpowiedzialnych społecznie WIG-ESG," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 1, pages 60-72.
    • Handle: RePEc:sgh:gosnar:y:2024:i:1:p:60-72
    as

    Download full text from publisher

    File URL: https://gnpje.sgh.waw.pl/pdf-178340-107523
    File Function: Full text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    2. Céline Louche & Daniel Arenas & Katinka Cranenburgh, 2012. "From Preaching to Investing: Attitudes of Religious Organisations Towards Responsible Investment," Journal of Business Ethics, Springer, vol. 110(3), pages 301-320, October.
    3. Managi, Shunsuke & Okimoto, Tatsuyoshi & Matsuda, Akimi, 2012. "Do Socially Responsible Investment Indexes Outperform Conventional Indexes?," MPRA Paper 36662, University Library of Munich, Germany.
    4. Michael Schröder, 2007. "Is there a Difference? The Performance Characteristics of SRI Equity Indices," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1‐2), pages 331-348, January.
    5. Anna Laskowska, 2018. "Stock Market Indices As A Measurment Tool For Profitability Of Corporate Social Responsibility Activities," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 7(4), pages 71-86.
    6. Eells, Richard, 1959. "Social responsibility: Can business survive the challenge?," Business Horizons, Elsevier, vol. 2(4), pages 33-41.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. José Luis Miralles-Quirós & María Mar Miralles-Quirós & José Manuel Nogueira, 2020. "Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas," Sustainability, MDPI, vol. 12(5), pages 1-16, February.
    2. Basel Maraqa & Murad Bein, 2020. "Dynamic Interrelationship and Volatility Spillover among Sustainability Stock Markets, Major European Conventional Indices, and International Crude Oil," Sustainability, MDPI, vol. 12(9), pages 1-14, May.
    3. Felipe Arias Fogliano de Souza Cunha & Erick Meira de Oliveira & Renato J. Orsato & Marcelo Cabus Klotzle & Fernando Luiz Cyrino Oliveira & Rodrigo Goyannes Gusmão Caiado, 2020. "Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets," Business Strategy and the Environment, Wiley Blackwell, vol. 29(2), pages 682-697, February.
    4. Hooi Hooi Lean & Duc Khuong Nguyen, 2014. "Policy uncertainty and performance characteristics of sustainable investments across regions around the global financial crisis," Working Papers 2014-295, Department of Research, Ipag Business School.
    5. Wei Rong Ang, 2015. "Sustainable investment in Korea does not catch a cold when the United States sneezes," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 5(1-2), pages 16-26, April.
    6. María del Mar Miralles-Quirós & José Luis Miralles-Quirós, 2017. "Improving Diversification Opportunities for Socially Responsible Investors," Journal of Business Ethics, Springer, vol. 140(2), pages 339-351, January.
    7. Omid Sabbaghi & Navid Sabbaghi, 2017. "The Chicago Climate Exchange and market efficiency: an empirical analysis," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 19(4), pages 711-734, October.
    8. Nevi Danila, 2022. "Random Walk of Socially Responsible Investment in Emerging Market," Sustainability, MDPI, vol. 14(19), pages 1-13, September.
    9. İşcanoğlu-Çekiç, Ayşegül & Gülteki̇n, Havva, 2019. "Are cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 978-990.
    10. Chun, Young H. & Plante, Robert D. & Schneider, Helmut, 2002. "Buying and selling an asset over the finite time horizon: A non-parametric approach," European Journal of Operational Research, Elsevier, vol. 136(1), pages 106-120, January.
    11. Dominique Guégan & Marius Cristian Frunza, 2018. "Is the Bitcoin Rush Over?," Documents de travail du Centre d'Economie de la Sorbonne 18014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    12. Zhuo Qiao & Keith Lam, 2011. "Granger causal relations among Greater China stock markets: a nonlinear perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1437-1450.
    13. Ya-Wen Lai, 2023. "Impact of futures’ trader types on stock market quality: evidence from Taiwan," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 417-436, June.
    14. Yoon, Byung-Sam & Brorsen, B. Wade, 2005. "Can Multiyear Rollover Hedging Increase Mean Returns?," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 37(1), pages 65-78, April.
    15. Shyh-Wei Chen, 2008. "Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-11.
    16. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
    17. Choi, Gahyun & Park, Kwangyeol & Yi, Eojin & Ahn, Kwangwon, 2023. "Price fairness: Clean energy stocks and the overall market," Chaos, Solitons & Fractals, Elsevier, vol. 168(C).
    18. repec:wyi:journl:002087 is not listed on IDEAS
    19. Dhanya Jothimani & Ravi Shankar & Surendra S. Yadav, 2016. "Discrete Wavelet Transform-Based Prediction of Stock Index: A Study on National Stock Exchange Fifty Index," Papers 1605.07278, arXiv.org.
    20. Neely, Christopher J. & Weller, Paul, 2000. "Predictability in International Asset Returns: A Reexamination," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(4), pages 601-620, December.
    21. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.

    More about this item

    Keywords

    inwestycje społecznie odpowiedzialne; indeksy etyczne; pasywne strategie inwestycyjne;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sgh:gosnar:y:2024:i:1:p:60-72. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Grzegorz Konat (email available below). General contact details of provider: https://edirc.repec.org/data/sgwawpl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.