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Macroeconomic effects on D.J.S.I.-World Returns

Author

Listed:
  • Nikolaos Sariannidis

    (TEI of West Macedonia, Department of Financial Applications, Kozani, Greece)

  • Ioannis Koskosas

    (University of Western Macedonia, Department of Mechanical Engineering and Telecommunications, Kozani, Greece)

  • Nikos Kartalis

    (TEI of West Macedonia, Kozani, Greece)

  • George Konteos

    (TEI of West Macedonia, Kozani, Greece)

Abstract

One of the best known and highly regarded Socially Responsible Investing (SRI) indexes is the Dow Jones Sustainability Index World (D.J.S.I.-World). By using the model of Generalized Autoregressive Conditional Heteroskedasticity (GARCH), the relation between D.J.S.I.-World returns to 10 year bond returns and Yen/U.S. dollar exchange rate is investigated. Research results show that 10 year bond value affects positively the value of D.J.S.I.-World. However, there is a negative relation between Yen/U.S. dollar exchange rate and D.J.S.I.-World with a month delay. According to our results, the total return of D.J.S.I.-World is affected by such macroeconomic factors as the value of 10 year bond, the Yen/U.S. dollar exchange rate and the general economic environment. In this way, investors can understand better the function of SRI market. Additionally, a new channel of information is created and better evaluation of D.J.S.I.-World is enabled

Suggested Citation

  • Nikolaos Sariannidis & Ioannis Koskosas & Nikos Kartalis & George Konteos, 2009. "Macroeconomic effects on D.J.S.I.-World Returns," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 2(2), pages 95-110, December.
    • Handle: RePEc:tei:journl:v:2:y:2009:i:2:p:95-110
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    References listed on IDEAS

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    Cited by:

    1. Eleftherios Giovanis, 2014. "The Turn-of-the-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 7(3), pages 43-61, December.
    2. Ekaterina Dorodnykh, 2013. "What Drives Stock Exchange Integration?," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 6(2), pages 47-79, September.

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    More about this item

    Keywords

    Corporate Social Responsibility; Socially Responsible Investment; GARCH;
    All these keywords.

    JEL classification:

    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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