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Title:Macroeconomic effects on DJSI-World returns PDF Logo
Authors:Sariannidis, Nikolaos
Koskosas, Ioannis
Kartalis, Nikos
Konteos, George
Issue Date:2009
Citation:[Journal:] International Journal of Economic Sciences and Applied Research [ISSN:] 1791-3373 [Volume:] 2 [Year:] 2009 [Issue:] 2 [Pages:] 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.
Subjects:corporate social responsibility
socially responsible investment
GARCH
JEL:M14
G15
C22
Document Type:Article
Appears in Collections:International Journal of Economic Sciences and Applied Research (IJESAR)

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