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The Effect of Baltic Dry Index, Gold, Oil and USA Trade Balance on Dow Jones Sustainability Index World

Author

Listed:
  • Grigoris Giannarakis

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

  • Christos Lemonakis

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

  • Asterios Sormas

    (Department of Business of Administration (Kozani), Western Macedonia University of Applied Sciences, Kila, 50100, Kozani, Greece,)

  • Christos Georganakis

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

Abstract

The predictability of stock returns by investors has been a crucial issue updating over the time. The aim of this study is to investigate the effect of economic leading indicator of Baltic Dry Index (BDI) on stock returns of socially responsible stock index. For the purpose of the study, Dow Jones Sustainability Index World (DJSIW) is employed in the proposed model so as to detect the world's leading companies that incorporate business initiatives consistent to sustainable development. It incorporates the generalized autoregressive conditional heteroskeasticity model in methodology for the period of October 1999 to July 2016 using monthly data. The empirical results revealed that BDI affect positively DJSIW implying that the maritime shipping cost as a proxy of economic growth affects the stock returns of socially responsible companies. In addition, gold, oil and the US trade balance tend to affect positively the DSJIW. The results are useful to investors in order to set their investment portfolio and management risk strategy.

Suggested Citation

  • Grigoris Giannarakis & Christos Lemonakis & Asterios Sormas & Christos Georganakis, 2017. "The Effect of Baltic Dry Index, Gold, Oil and USA Trade Balance on Dow Jones Sustainability Index World," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 155-160.
    • Handle: RePEc:eco:journ1:2017-05-18
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    References listed on IDEAS

    as
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    3. Hedi Arouri, Mohamed El & Khuong Nguyen, Duc, 2010. "Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade," Energy Policy, Elsevier, vol. 38(8), pages 4528-4539, August.
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    Cited by:

    1. Kyungbo Park & Hangook Kim & Jeonghwa Cha, 2023. "An Exploratory Study on the Development of a Crisis Index: Focusing on South Korea’s Petroleum Industry," Energies, MDPI, vol. 16(14), pages 1-24, July.
    2. Lin, Arthur J. & Chang, Hai Yen & Hsiao, Jung Lieh, 2019. "Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 127(C), pages 265-283.
    3. Md. Bokhtiar Hasan & Masnun Mahi & Tapan Sarker & Md. Ruhul Amin, 2021. "Spillovers of the COVID-19 Pandemic: Impact on Global Economic Activity, the Stock Market, and the Energy Sector," JRFM, MDPI, vol. 14(5), pages 1-18, May.
    4. Arunava Bandyopadhyay & Prabina Rajib, 2023. "The asymmetric relationship between Baltic Dry Index and commodity spot prices: evidence from nonparametric causality-in-quantiles test," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 36(2), pages 217-237, June.
    5. 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.
    6. Çiðdem Kurt Cihangir, 2018. "Küresel Risk Algýsýnýn Küresel Ticaret Üzerindeki Etkisi," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 6(1), pages 1-10.
    7. Zhang, X. & Chen, M.Y. & Wang, M.G. & Ge, Y.E. & Stanley, H.E., 2019. "A novel hybrid approach to Baltic Dry Index forecasting based on a combined dynamic fluctuation network and artificial intelligence method," Applied Mathematics and Computation, Elsevier, vol. 361(C), pages 499-516.

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    More about this item

    Keywords

    Stock returns; Baltic Dry Index; gold; oil;
    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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