Macroeconomic effects on D.J.S.I.-World Returns

Nikolaos Sariannidis (), Ioannis Koskosas (), Nikos Kartalis () and George Konteos ()
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Nikolaos Sariannidis: TEI of West Macedonia, Department of Financial Applications, Kozani, Greece
Ioannis Koskosas: University of Western Macedonia, Department of Mechanical Engineering and Telecommunications, Kozani, Greece
Nikos Kartalis: TEI of West Macedonia, Kozani, Greece
George Konteos: TEI of West Macedonia, Kozani, Greece
Authors registered in the RePEc Author Service: Νικολαοσ Καρταλησ

International Journal of Business and Economic Sciences Applied Research (IJBESAR), 2009, vol. 2, issue 2, 95-110

Abstract: One of the best known and highly regarded Socially Responsible Investing (SRI) indexes is the Dow Jones Sustainability Index World (D.J.S.I.-World). By using the model of Generalized Autoregressive Conditional Heteroskedasticity (GARCH), the relation between D.J.S.I.-World returns to 10 year bond returns and Yen/U.S. dollar exchange rate is investigated. Research results show that 10 year bond value affects positively the value of D.J.S.I.-World. However, there is a negative relation between Yen/U.S. dollar exchange rate and D.J.S.I.-World with a month delay. According to our results, the total return of D.J.S.I.-World is affected by such macroeconomic factors as the value of 10 year bond, the Yen/U.S. dollar exchange rate and the general economic environment. In this way, investors can understand better the function of SRI market. Additionally, a new channel of information is created and better evaluation of D.J.S.I.-World is enabled

Keywords: Corporate Social Responsibility; Socially Responsible Investment; GARCH (search for similar items in EconPapers)
JEL-codes: C22 G15 M14 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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