An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States

Electra Pitoska, Androniki Katarachia, Grigoris Giannarakis and Charalampos Tsilikas
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Electra Pitoska: Department of Accounting and Finance, School of Management & Economics, Western Macedonia University of Applied Sciences, Greece,
Androniki Katarachia: Department of Accounting and Finance, School of Management & Economics, Western Macedonia University of Applied Sciences, Greece
Grigoris Giannarakis: Department of Business of Administration, Western Macedonia University of Applied Sciences, Greece,
Charalampos Tsilikas: Department of Accounting and Finance, School of Management & Economics, Western Macedonia University of Applied Sciences, Greece

International Journal of Economics and Financial Issues, 2017, vol. 7, issue 3, 113-118

Abstract: 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; Generalized Autoregressive Conditional Heteroskedasticity Model (search for similar items in EconPapers)
JEL-codes: C58 M21 Q40 Q50 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2017-03-16

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