Volatility Analysis of Sustainability-Themed Japanese Equity Indices

Amane Saito () and Hisashi Tanizaki
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Amane Saito: Graduate School of Economics, Osaka University

No 22-01, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: In this paper, we analyze the return and volatility of portfolios based on Sustainability Themed Japanese Equity Index, which focuses on social (S) and environment (E) using the Stochastic Volatility (SV) model. The daily data of stock price from January 5, 2015 to October 29, 2021 are utilized. As a result of the analysis, it was confirmed that the asymmetry effect, which captures the increase in volatility after a stock price decline, is significantly smaller for the portfolio that take gender diversity into account. On the other hand, no effect of considering gender diversity was found for the holiday effect, the turn of the month effect, and U.S. volatility spillover effect. In addition, for the portfolio that take into account the information disclosure on corporate greenhouse gas (GHG) emissions, which is the theme of E, the asymmetry effect was confirmed tobe significantly smaller in Material industry as well.

Keywords: SV model; Sustainability themed Indices; Gender Diversity; Greenhouse Gas(GHG) emissions; Market Anomaly (asymmetry effect; holiday effect; turn of the month effect) (search for similar items in EconPapers)
JEL-codes: C58 G17 M14 Q50 (search for similar items in EconPapers)
Pages: 17pages
Date: 2022-06
New Economics Papers: this item is included in nep-dem, nep-ene and nep-env
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