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Gender Diversity Index. Measuring persistence

Author

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  • del Rio, Marta
  • Infante, Juan
  • Gil-Alana, Luis A.

Abstract

This paper deals with the analysis of the Gender Diversity Index (GDI), which is an Index developed by Solactive AG and is calculated and distributed by this provider. The index tracks the performance of developed world companies that are successfully working towards gender diversity as part of their CSR (Corporate Social Responsibility) strategy, and we measure its degree of persistence by using fractional integration or I(d) techniques. Using daily data from 8 December 2010 until 16 December 2020, the results indicate that the series is highly persistent with an order of integration lower than, though very close to 1. However, an interesting result is obtained by estimating d recursively across subsamples. The differencing parameter moves around 0.92 until 23 March 2020, with the series displaying a very small degree of mean reversion behaviour until that date. After that period, however, we observe an increase in the estimate of d, which stabilizes around 0.97 after 5 May 2020, though now the series presents evidence of a lack of mean reversion, with the shock having a permanent effect on the series. Thus, it seems that the sanitary crisis due to Covid-19 has had a clear effect in the degree of persistence of the GDI data.

Suggested Citation

  • del Rio, Marta & Infante, Juan & Gil-Alana, Luis A., 2021. "Gender Diversity Index. Measuring persistence," Research in International Business and Finance, Elsevier, vol. 58(C).
    • Handle: RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000957
    DOI: 10.1016/j.ribaf.2021.101474
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    References listed on IDEAS

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    8. Luis A. Gil-Alana & Javier Hualde, 2009. "Fractional Integration and Cointegration: An Overview and an Empirical Application," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 10, pages 434-469, Palgrave Macmillan.
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    More about this item

    Keywords

    Gender Diversity Index; Persistence; Fractional integration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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