The Impact of Dow Jones Sustainability Index on US Dollar Value
The scope of this study is to address the impact of stock index returns on exchange rate. In particular, it aims to fill the literature gap regarding the determinant role of socially responsible companies on the exchange rate Trade Weighted U.S. Dollar Index to Major Currencies as a proxy for US do...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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EconJournals
2017-04-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://econjournals.com/index.php/ijefi/article/view/3526 |
| _version_ | 1828017322578673664 |
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| author | Grigoris Giannarakis Alexandros Garefalakis Christos Lemonakis Nikolaos Sariannidis |
| author_facet | Grigoris Giannarakis Alexandros Garefalakis Christos Lemonakis Nikolaos Sariannidis |
| author_sort | Grigoris Giannarakis |
| collection | DOAJ |
| description |
The scope of this study is to address the impact of stock index returns on exchange rate. In particular, it aims to fill the literature gap regarding the determinant role of socially responsible companies on the exchange rate Trade Weighted U.S. Dollar Index to Major Currencies as a proxy for US dollar value. For this reason, the Dow Jones Sustainable Index World (DJSIW) as a proxy for the world's leading companies in terms of economic, environmental and social criteria. A generalized autoregressive conditional heteroskedasticity (GARCH) model is employed over US dollar value to major currencies for the period January, 1999 to May, 2016 using monthly data. A number of control variables were introduced in the proposed model, namely Oil prices, US interest rate, US supply money, trade balance and consumer confidence. The empirical results revealed the negative impact of stock returns of socially responsible companies on US dollar value inconsistent with proposed empirical literature. The results have significant implications for investors, portfolio managers and policymakers hedging on diversification strategies for their portfolios.
Keywords: Exchange Rate, Dow Jones Sustainability Index, Returns
JEL Classifications: G1, F2, Q40, M21
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| first_indexed | 2024-04-10T10:47:39Z |
| format | Article |
| id | doaj.art-73845151360c4ff8a84556153866b47b |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T10:47:39Z |
| publishDate | 2017-04-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-73845151360c4ff8a84556153866b47b2023-02-15T16:20:15ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382017-04-0172The Impact of Dow Jones Sustainability Index on US Dollar ValueGrigoris Giannarakis0Alexandros Garefalakis1Christos Lemonakis2Nikolaos Sariannidis3Adjunct Lecturer, Western Macedonia University of Applied Sciences, Department of Business Administration (Grevena), 6km Paleas E.O Grevenon Kozanis, 51100, Grevena, Greece.Adjunct Lecturer, Technological Education Institute of Crete, Accounting and Finance Department, Estavromenos 71004 Iraklio, GreeceAdjunct Lecturer, Western Macedonia University of Applied Sciences, Msc in Accounting and Auditing, 50100, Kila - Kozani, GreeceAssociate Professor, Western Macedonia University of Applied Sciences, Department of Accounting and Finance, 50100, Kila - Kozani, Greece. The scope of this study is to address the impact of stock index returns on exchange rate. In particular, it aims to fill the literature gap regarding the determinant role of socially responsible companies on the exchange rate Trade Weighted U.S. Dollar Index to Major Currencies as a proxy for US dollar value. For this reason, the Dow Jones Sustainable Index World (DJSIW) as a proxy for the world's leading companies in terms of economic, environmental and social criteria. A generalized autoregressive conditional heteroskedasticity (GARCH) model is employed over US dollar value to major currencies for the period January, 1999 to May, 2016 using monthly data. A number of control variables were introduced in the proposed model, namely Oil prices, US interest rate, US supply money, trade balance and consumer confidence. The empirical results revealed the negative impact of stock returns of socially responsible companies on US dollar value inconsistent with proposed empirical literature. The results have significant implications for investors, portfolio managers and policymakers hedging on diversification strategies for their portfolios. Keywords: Exchange Rate, Dow Jones Sustainability Index, Returns JEL Classifications: G1, F2, Q40, M21 https://econjournals.com/index.php/ijefi/article/view/3526 |
| spellingShingle | Grigoris Giannarakis Alexandros Garefalakis Christos Lemonakis Nikolaos Sariannidis The Impact of Dow Jones Sustainability Index on US Dollar Value International Journal of Economics and Financial Issues |
| title | The Impact of Dow Jones Sustainability Index on US Dollar Value |
| title_full | The Impact of Dow Jones Sustainability Index on US Dollar Value |
| title_fullStr | The Impact of Dow Jones Sustainability Index on US Dollar Value |
| title_full_unstemmed | The Impact of Dow Jones Sustainability Index on US Dollar Value |
| title_short | The Impact of Dow Jones Sustainability Index on US Dollar Value |
| title_sort | impact of dow jones sustainability index on us dollar value |
| url | https://econjournals.com/index.php/ijefi/article/view/3526 |
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