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Performance analysis of sustainable stock indices against conventional ones: an empirical investigation of G7 countries

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  • Neha Seth
  • Deepti Singh

Abstract

The study evaluates the performance of sustainable indices in comparison to conventional indices of G7 countries for the period starting from 1st January 2015 to 30th September 2022. The article employs risk-adjusted measures such as Sharpe, Treynor, Jensen's alpha, Modified Sharpe, and Sortino, which shows that sustainable indices of most countries like Canada, Japan, Germany, and Italy highlighted superior performance and the investors earned positive rewards for bearing incremental risk. However, the stressed time of crisis is proved to be a penalty for socially ethical investors. The Fama Decomposition model shows that premium rewards earned by sustainable indices helped the superior-performing countries to secure top ranks. The conditional volatility of sustainable index is measured using the GARCH(1,1) model. The study will benefit the investors to diversify their investments in sustainable indices to earn creditable returns and the financial market professionals in framing policies to uplift the investment in sustainable indices.

Suggested Citation

  • Neha Seth & Deepti Singh, 2025. "Performance analysis of sustainable stock indices against conventional ones: an empirical investigation of G7 countries," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 32(2), pages 109-133.
    • Handle: RePEc:ids:gbusec:v:32:y:2025:i:2:p:109-133
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