Social Responsibility and Influences on Finantial Returns: A Study on the Sustainability Performance Indicators
This study presents an analysis of performance and randomness of the sustainability’s series indexes concerning to prices of the major stock exchanges worldwide. The approach was performed by applying a variance ratio test in order to evaluate the autocorrelation of each series. Historical data of t...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2018 |
| País: | Brasil |
| Institución: | Pontifícia Universidade Católica de São Paulo (PUC-SP) |
| Repositorio: | Revista Administração em Diálogo |
| Idioma: | portugués inglés |
| OAI Identifier: | oai:ojs.pkp.sfu.ca:article/33686 |
| Acceso en línea: | https://revistas.pucsp.br/index.php/rad/article/view/33686 |
| Access Level: | acceso abierto |
| Palabra clave: | Sustainability Performance Randomness. Sustentabilidade Desempenho Aleatoriedade. |
| Sumario: | This study presents an analysis of performance and randomness of the sustainability’s series indexes concerning to prices of the major stock exchanges worldwide. The approach was performed by applying a variance ratio test in order to evaluate the autocorrelation of each series. Historical data of the ISE, DJSI, FTSE4Good and JSE SRI Indexes were used. Those indexes belong, respectively, to the stock exchanges of São Paulo, New York, London and Johannesburg. The information was collected in the Wall Street Journal database. The results indicated that there is no evidence of the indices’ series randomness. Sustainability indexes have different variances when compared to the main indices, however, are lower only for ISE and FTSE4Good. |
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