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The comparison of socially responsible indices in Central and Eastern Europe

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  • Bogna Janik
  • Marcin Bartkowiak

Abstract

The aim of the research is to find the differences and similarities between the indices of socially responsible companies in Central and Eastern Europe (CEE). The scope of the analysis includes sustainable companies listed in the RESPECT, CEERIUS and VONIX indices. Not only was the composition of indices analysed but also their profitability and efficiency were measured. The rate of return and Sharpe ratios as well as modified Sharpe ratios, Sortino ratios, omega ratios, RoVaR for daily and weekly returns were also calculated. The process of selecting companies to be included in the socially responsible indices is different in the Warsaw Stock Exchange and Vienna Stock Exchange. The reason is that the RESPECT index also includes the companies that according to the report by the European Environment Agency (EEA) are on the list of the biggest polluters in Europe.

Suggested Citation

  • Bogna Janik & Marcin Bartkowiak, 2015. "The comparison of socially responsible indices in Central and Eastern Europe," International Journal of Environmental Technology and Management, Inderscience Enterprises Ltd, vol. 18(2), pages 153-169.
    • Handle: RePEc:ids:ijetma:v:18:y:2015:i:2:p:153-169
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    Citations

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    Cited by:

    1. Schabek, Tomasz, 2020. "The financial performance of sustainable power producers in emerging markets," Renewable Energy, Elsevier, vol. 160(C), pages 1408-1419.
    2. Jędrzej Białkowski & Anna Sławik, 2021. "Do investors respond to changes in the composition of sustainability indices?," Bank i Kredyt, Narodowy Bank Polski, vol. 52(4), pages 319-338.
    3. Brzeszczyński, Janusz & Gajdka, Jerzy & Schabek, Tomasz, 2021. "How risky are the socially responsible investment (SRI) stocks? Evidence from the Central and Eastern European (CEE) companies," Finance Research Letters, Elsevier, vol. 42(C).
    4. Janik, Bogna & Bartkowiak, Marcin, 2022. "Are sustainable investments profitable for investors in Central and Eastern European Countries (CEECs)?," Finance Research Letters, Elsevier, vol. 44(C).
    5. Śliwiński Paweł & Łobza Maciej, 2017. "Financial Performance of Socially Responsible Indices," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 53(1), pages 25-46, March.

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