An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States
During the last decades there has been an increased interest regarding socially responsible stock indexes. However, there is a limitless literature body regarding the factors that affect these types of indexes. For this reason, this paper intends to investigate whether consumer sentiment, US dollar...
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| Format: | Article |
| Language: | English |
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EconJournals
2017-06-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/4328 |
| _version_ | 1797918387641253888 |
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| author | Electra Pitoska Androniki Katarachia Grigoris Giannarakis Charalampos Tsilikas |
| author_facet | Electra Pitoska Androniki Katarachia Grigoris Giannarakis Charalampos Tsilikas |
| author_sort | Electra Pitoska |
| collection | DOAJ |
| description |
During the last decades there has been an increased interest regarding socially responsible stock indexes. However, there is a limitless literature body regarding the factors that affect these types of indexes. For this reason, this paper intends to investigate whether consumer sentiment, US dollar value to major currencies and Gold prices affecting the returns of Dow Jones Sustainability Index (DJSI) US from September 1999 to September 2016 using monthly data. The generalized autoregressive conditional heteroskedasticity model is used and revealed that consumer sentiment affect positively the DJSI US, while Gold prices and the US dollar value have a negative effect on it. The results of this study add to the international literature by providing important implications for investors and policy makers along with business manager forecasting and planning.
Keywords: Dow Jones Sustainability Index, Consumer Sentiment, Gold, US dollar, GARCH model
JEL Classifications: C58, Q40, Q50, M21
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| first_indexed | 2024-04-10T13:28:30Z |
| format | Article |
| id | doaj.art-e54465952ad040c2982baf2cd4eeaf52 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T13:28:30Z |
| publishDate | 2017-06-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-e54465952ad040c2982baf2cd4eeaf522023-02-15T16:11:46ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382017-06-0173An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United StatesElectra Pitoska0Androniki Katarachia1Grigoris Giannarakis2Charalampos Tsilikas3Associate Professor Department of Accounting and Finance, School of Management & Economics, Western Macedonia University of Applied Sciences, Greece E-mail: ilpitoska@yahoo.gr & ipitoska@teikoz.gr Tel: 00306944258505Associate Professor Department of Accounting and Finance, School of Management & Economics, Western Macedonia University of Applied Sciences, Greece Katarach@teiwm.grAdjunct Lecturer, Western Macedonia University of Applied Sciences, Department of Business of AdministrationDepartment of Accounting and Finance, School of Management & Economics, Western Macedonia University of Applied Sciences, Greece E-mail: tsilikas89@yahoo.gr During the last decades there has been an increased interest regarding socially responsible stock indexes. However, there is a limitless literature body regarding the factors that affect these types of indexes. For this reason, this paper intends to investigate whether consumer sentiment, US dollar value to major currencies and Gold prices affecting the returns of Dow Jones Sustainability Index (DJSI) US from September 1999 to September 2016 using monthly data. The generalized autoregressive conditional heteroskedasticity model is used and revealed that consumer sentiment affect positively the DJSI US, while Gold prices and the US dollar value have a negative effect on it. The results of this study add to the international literature by providing important implications for investors and policy makers along with business manager forecasting and planning. Keywords: Dow Jones Sustainability Index, Consumer Sentiment, Gold, US dollar, GARCH model JEL Classifications: C58, Q40, Q50, M21 https://www.econjournals.com/index.php/ijefi/article/view/4328 |
| spellingShingle | Electra Pitoska Androniki Katarachia Grigoris Giannarakis Charalampos Tsilikas An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States International Journal of Economics and Financial Issues |
| title | An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States |
| title_full | An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States |
| title_fullStr | An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States |
| title_full_unstemmed | An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States |
| title_short | An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States |
| title_sort | analysis of determinants affecting the returns of dow jones sustainability index united states |
| url | https://www.econjournals.com/index.php/ijefi/article/view/4328 |
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