An analysis of United States on Dow Jones Sustainability Index

  • Published October 10, 2016
  • Author(s)
    Grigoris Giannarakis , Xanthi Partalidou , Eleni Zafeiriou , Nikolaos Sariannidis
  • DOI
    http://dx.doi.org/10.21511/imfi.13(3-2).2016.07
  • Article Info
    Volume 13 2016, Issue #3 (cont. 2), pp. 353-361
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This 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

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Investment Management and Financial Innovations
Investment Management and Financial Innovations