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Performance Differences between ESG Indices and Conventional Market Indices: a Multivariate Analysis of Indices

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  • Kurnoga Nataša

    (Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia.)

  • Šimurina Nika

    (Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia.)

  • Fučkan Filip

    (Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia.)

Abstract

This paper aims to identify performance differences between conventional European equity indices and ESG indices. Conventional European equity indices are tools both institutional and retail investors use to understand the overall state of the market, as well as a benchmark for comparing investment decisions. ESG indices or sustainability indices are different from conventional market indices and can provide information to investors about the firm’s sustainability performance, they are new and constantly developing stock market indices taking into account environmental, social, and governance considerations. The indices were analysed by multivariate analysis. Since we could collect data by country only for conventional indices, cluster analysis based only on those indices was performed. The following variables of conventional indices were analysed: year-to-date price return, annualized 3-year price return, annualized 5-year price return, and annualized 10-year price return. The paper also compares ESG indices and conventional indices, and in most cases, they have no significant performance differences.

Suggested Citation

  • Kurnoga Nataša & Šimurina Nika & Fučkan Filip, 2022. "Performance Differences between ESG Indices and Conventional Market Indices: a Multivariate Analysis of Indices," Zagreb International Review of Economics and Business, Sciendo, vol. 25(s1), pages 85-103.
    • Handle: RePEc:vrs:zirebs:v:25:y:2022:i:s1:p:85-103:n:1006
    DOI: 10.2478/zireb-2022-0026
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    More about this item

    Keywords

    cluster analysis; multivariate analysis; ESG indices; conventional indices; the European Union member countries;
    All these keywords.

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • O31 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Innovation and Invention: Processes and Incentives

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