Nikolaos Sariannidis
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3 publications
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Determinants of the asymmetric gold market
Apostolos Kiohos , Nikolaos SariannidisInvestment Management and Financial Innovations Volume 7, 2010 Issue #4
Views: 488 Downloads: 343 TO CITE -
An analysis of United States on Dow Jones Sustainability Index
Grigoris Giannarakis , Xanthi Partalidou , Eleni Zafeiriou , Nikolaos Sariannidis doi: http://dx.doi.org/10.21511/imfi.13(3-2).2016.07Investment Management and Financial Innovations Volume 13, 2016 Issue #3 (cont. 2) pp. 353-361
Views: 1161 Downloads: 361 TO CITEThis paper examines the effect of various economic and financial indicators on the Dow Jones Sustainability Index (DJSI) returns. In particular, four explanatory variables are employed, namely United States (US) 10 Year bond value, gold price, Trade Weighted U.S. Dollar Index and Consumer Sentiment Index calculated by Michigan University. A generalized autoregressive conditional heteroskedasticity (GARCH) model is applied over DJSI United States which incorporates socially responsible companies for the period August, 1999 to May, 2016 using monthly data. The empirical results indicate that the consumer sentiment and the bond market exert positive impact on the DJSI US, whereas the gold and currency market affects it negatively. In addition, the structural analysis of DJSI US returns volatility showed that the US trade balance has a stabilizing effect on the conditional variance of the DJSI US return series.
JEL Classification: G1, F2, Q40, M21.
Keywords: Dow Jones Sustainability Index, bond value, gold, exchange rate, consumer sentiment -
The effect of Dow Jones Sustainability Index on Consumer Sentiment Index
Nikolaos Sariannidis , Grigoris Giannarakis , Xanthi Partalidou , Bakas Evangelos doi: http://dx.doi.org/10.21511/imfi.14(1).2017.09Investment Management and Financial Innovations Volume 14, 2017 Issue #1 pp. 89-95
Views: 1271 Downloads: 358 TO CITE АНОТАЦІЯThis study intends to investigate whether stock returns affect the consumer sentiment. In particular, socially responsible companies are incorporated in the sample in order to capture the specification of socially responsible investors. For this reason, the University of Michigan Consumer Confidence Index is used as a proxy for consumer confidence, while data from Dow Jones Sustainability Index US is employed as a proxy for socially responsible companies for the period 1999-2016. The generalized autoregressive conditional heteroskedasticity model applied and illustrated that stock returns affect positively the consumer confidence. The result has important implications for investors and policy makers.
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