Performance Differences between ESG Indices and Conventional Market Indices: a Multivariate Analysis of Indices

Kurnoga Nataša, Šimurina Nika and Fučkan Filip
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Kurnoga Nataša: Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia.
Šimurina Nika: Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia.
Fučkan Filip: Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia.

Zagreb International Review of Economics and Business, 2022, vol. 25, issue s1, 85-103

Abstract: This paper aims to identify performance differences between conventional European equity indices and ESG indices. Conventional European equity indices are tools both institutional and retail investors use to understand the overall state of the market, as well as a benchmark for comparing investment decisions. ESG indices or sustainability indices are different from conventional market indices and can provide information to investors about the firm’s sustainability performance, they are new and constantly developing stock market indices taking into account environmental, social, and governance considerations. The indices were analysed by multivariate analysis. Since we could collect data by country only for conventional indices, cluster analysis based only on those indices was performed. The following variables of conventional indices were analysed: year-to-date price return, annualized 3-year price return, annualized 5-year price return, and annualized 10-year price return. The paper also compares ESG indices and conventional indices, and in most cases, they have no significant performance differences.

Keywords: cluster analysis; multivariate analysis; ESG indices; conventional indices; the European Union member countries (search for similar items in EconPapers)
JEL-codes: C38 G11 O31 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:zirebs:v:25:y:2022:i:s1:p:85-103:n:1006

DOI: 10.2478/zireb-2022-0026

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