Persistent and Long-Term Co-Movements between Gender Equality and Global Prices

Juan Infante (), Marta del Rio and Luis Gil-Alana
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Juan Infante: Faculty of Business Administration and Management, University Villanueva, 28034 Madrid, Spain
Marta del Rio: Faculty of Economics, University Villanueva, 28034 Madrid, Spain

Economies, 2024, vol. 12, issue 7, 1-15

Abstract: This paper investigates the relationships of the Bloomberg Gender Equality Index and the MSCI World Index in global financial markets. The main objective is to analyze the degree of integration of each index from a fractional perspective for the years 2014–2021. The methodology involves fractional integration to assess the consistency and integration levels of both indices, revealing that they are remarkably consistent with integration orders close to 1 and no evidence of mean-reverting behavior. When examining potential cointegrating relationships between the two indices using the classical two-step method of Engle and Granger, the order of integration of the estimated errors is very close to 1, showing no evidence of cointegration. However, employing the more robust fractional CVAR (FCVAR) approach, the results strongly support the hypothesis of cointegration, indicating evidence of long-term co-movements between the two indices. The findings suggest that investment strategies should incorporate gender diversity criteria, as companies aligning with these benchmarks may enhance co-movements with the Bloomberg Gender Equality Index. Policymakers should promote transparency and initiatives that support gender diversity to improve market stability.

Keywords: stock market prices; fractional integration; co-movements; mean reversion; long memory (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2024
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