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Á GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinction Between the Total Market Index and the Sustainability Index

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  • Nikolaos SARIANNIDIS
  • Grigoris GIANNARAKIS
  • Nicolaos LITINAS
  • George KONTEOS

Abstract

The paper examines the impact of several macroeconomic variables on the Dow Jones Sustainability and Dow Jones Wilshire 5000 indexes, using a GARCH model and monthly data for the period January, 2000 to January, 2008. The results show that changes in returns of crude oil prices affect negatively the U.S. stock market, contrary to changes in returns of the 10-year bond value that affect it positively. Both economic indicators influence the DJSI with a month delay. Also, the exchange rate volatility affects negatively the returns of the U.S. stock market and the non-farm payroll can be characterised as a stabilising factor for the DJSI.

Suggested Citation

  • Nikolaos SARIANNIDIS & Grigoris GIANNARAKIS & Nicolaos LITINAS & George KONTEOS, 2010. "Á GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinction Between the Total Market Index and the Sustainability Index," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 129-142.
    • Handle: RePEc:ers:journl:v:xiii:y:2010:i:1:p:129-142
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    Cited by:

    1. Emmanuel Lawal & Gökan May & Bojan Stahl, 2017. "The Significance of Corporate Social Disclosure for High‐Tech Manufacturing Companies: Focus on Employee and Community Aspects of Sustainable Development," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 24(4), pages 295-311, July.
    2. Estefanía Montoya-Cruz & José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Ángel Sánchez-Granero, 2020. "Exploring Arbitrage Strategies in Corporate Social Responsibility Companies," Sustainability, MDPI, vol. 12(16), pages 1-17, August.
    3. Li‐Kai Liao & Yu‐Wei Fan & Ming‐Hsin Shih, 2020. "What drives social responsibility indices returns? Macroeconomics matters," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 27(2), pages 514-524, March.
    4. Kylie de Klerk & Favil Singh, 2023. "Does Gender and Cultural Diversity Matter for Sustainability in Healthcare? Evidence from Global Organizations," Sustainability, MDPI, vol. 15(15), pages 1-17, July.
    5. Neenu. C & T Mohamed Nishad, 2021. "Carbon Reduction and Sustainable Investment: A Way to Sustainable Development," Energy Economics Letters, Asian Economic and Social Society, vol. 8(2), pages 134-144, December.
    6. Aviral Kumar Tiwari & Ibrahim D. Raheem & Seref Bozoklu & Shawkat Hammoudeh, 2022. "The Oil Price‐Macroeconomic fundamentals nexus for emerging market economies: Evidence from a wavelet analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1569-1590, January.
    7. Kae‐Yih Tzeng, 2023. "The ability of U.S. macroeconomic variables to predict Asian financial market returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3529-3551, October.
    8. Parul Bhatia & Priya Gupta, 2020. "Sub-prime Crisis or COVID-19: A Comparative Analysis of Volatility in Indian Banking Sectoral Indices," FIIB Business Review, , vol. 9(4), pages 286-299, December.

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    More about this item

    Keywords

    Corporate Social Responsibility; Dow Jones Sustainability Index; GARCH; macroeconomic indicators;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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