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An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States

Author

Listed:
  • Electra Pitoska

    (Department of Accounting and Finance, School of Management & Economics, Western Macedonia University of Applied Sciences, Greece,)

  • Androniki Katarachia

    (Department of Accounting and Finance, School of Management & Economics, Western Macedonia University of Applied Sciences, Greece)

  • Grigoris Giannarakis

    (Department of Business of Administration, Western Macedonia University of Applied Sciences, Greece,)

  • Charalampos Tsilikas

    (Department of Accounting and Finance, School of Management & Economics, Western Macedonia University of Applied Sciences, Greece)

Abstract

During the last decades there has been an increased interest regarding socially responsible stock indexes. However, there is a limitless literature body regarding the factors that affect these types of indexes. For this reason, this paper intends to investigate whether consumer sentiment, US dollar value to major currencies and gold prices affecting the returns of Dow Jones sustainability index (DJSI) US from September 1999 to September 2016 using monthly data. The generalized autoregressive conditional heteroskedasticity model is used and revealed that consumer sentiment affect positively the DJSI US, while gold prices and the US dollar value have a negative effect on it. The results of this study add to the international literature by providing important implications for investors and policy makers along with business manager forecasting and planning.

Suggested Citation

  • Electra Pitoska & Androniki Katarachia & Grigoris Giannarakis & Charalampos Tsilikas, 2017. "An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 113-118.
    • Handle: RePEc:eco:journ1:2017-03-16
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    References listed on IDEAS

    as
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    5. Ahmed, M. Iqbal & Cassou, Steven P., 2016. "Does consumer confidence affect durable goods spending during bad and good economic times equally?," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 86-97.
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    Cited by:

    1. Ahmed El Oubani, 2024. "Investor sentiment and sustainable investment: evidence from North African stock markets," Future Business Journal, Springer, vol. 10(1), pages 1-20, December.
    2. M. Ángeles López-Cabarcos & Ada M. Pérez-Pico & M. Luisa López-Pérez, 2019. "Does Social Network Sentiment Influence S&P 500 Environmental & Socially Responsible Index?," Sustainability, MDPI, vol. 11(2), pages 1-10, January.

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    More about this item

    Keywords

    Dow Jones Sustainability Index; Consumer Sentiment; Gold; US Dollar; Generalized Autoregressive Conditional Heteroskedasticity Model;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • Q50 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - General
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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