Sustainability Indices and the Calendar Effect
The investing landscape has undergone a significant shift. Investors are interested in stocks that not only increase shareholder wealth but also give high priority to environmental, social, and governance issues. The purpose of the study is to examine the presence of a calendar effec...
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| Format: | Article |
| Language: | Russian |
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Government of the Russian Federation, Financial University
2024-03-01
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| Series: | Финансы: теория и практика |
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| Online Access: | https://financetp.fa.ru/jour/article/view/2677 |
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| author | K. Kalimuthu S. Shaik |
| author_facet | K. Kalimuthu S. Shaik |
| author_sort | K. Kalimuthu |
| collection | DOAJ |
| description | The investing landscape has undergone a significant shift. Investors are interested in stocks that not only increase shareholder wealth but also give high priority to environmental, social, and governance issues. The purpose of the study is to examine the presence of a calendar effect on the BSE sustainability indices. The daily closing prices of the BSE CARBONEX, BSE GREENEX, BSE 100, BSE Sensex, and Nifty have been collected. The study is using various methods like descriptive statistics, the unit root test, the day of the week return, the ordinary least squares method (OLS), and the GARCH (1, 1) model. It is clear from the study results that sustainability index returns follow the pattern of the BSE 100 and Sensex. There is a high positive and statistically significant Tuesday effect during the full sample period and period II. The GARCH (1, 1) model indicates there is a significant Monday effect on all indices. The result obtained in this paper is useful to investors to frame their investment strategy, for academicians to study the performance of the indices for different periods, and for business people to know the trend and tendencies. |
| format | Article |
| id | doaj-art-636d120ece7a4d82b48cfd8e6cd1a19f |
| institution | Matheson Library |
| issn | 2587-5671 2587-7089 |
| language | Russian |
| publishDate | 2024-03-01 |
| publisher | Government of the Russian Federation, Financial University |
| record_format | Article |
| series | Финансы: теория и практика |
| spelling | doaj-art-636d120ece7a4d82b48cfd8e6cd1a19f2025-08-04T13:11:10ZrusGovernment of the Russian Federation, Financial UniversityФинансы: теория и практика2587-56712587-70892024-03-01281435110.26794/2587-5671-2024-28-1-43-511111Sustainability Indices and the Calendar EffectK. Kalimuthu0S. Shaik1Vellore Institute of TechnologyVellore Institute of TechnologyThe investing landscape has undergone a significant shift. Investors are interested in stocks that not only increase shareholder wealth but also give high priority to environmental, social, and governance issues. The purpose of the study is to examine the presence of a calendar effect on the BSE sustainability indices. The daily closing prices of the BSE CARBONEX, BSE GREENEX, BSE 100, BSE Sensex, and Nifty have been collected. The study is using various methods like descriptive statistics, the unit root test, the day of the week return, the ordinary least squares method (OLS), and the GARCH (1, 1) model. It is clear from the study results that sustainability index returns follow the pattern of the BSE 100 and Sensex. There is a high positive and statistically significant Tuesday effect during the full sample period and period II. The GARCH (1, 1) model indicates there is a significant Monday effect on all indices. The result obtained in this paper is useful to investors to frame their investment strategy, for academicians to study the performance of the indices for different periods, and for business people to know the trend and tendencies.https://financetp.fa.ru/jour/article/view/2677bombay stock exchangecalendar effectbse carbonexbse greenexbse 100sensexnifty |
| spellingShingle | K. Kalimuthu S. Shaik Sustainability Indices and the Calendar Effect Финансы: теория и практика bombay stock exchange calendar effect bse carbonex bse greenex bse 100 sensex nifty |
| title | Sustainability Indices and the Calendar Effect |
| title_full | Sustainability Indices and the Calendar Effect |
| title_fullStr | Sustainability Indices and the Calendar Effect |
| title_full_unstemmed | Sustainability Indices and the Calendar Effect |
| title_short | Sustainability Indices and the Calendar Effect |
| title_sort | sustainability indices and the calendar effect |
| topic | bombay stock exchange calendar effect bse carbonex bse greenex bse 100 sensex nifty |
| url | https://financetp.fa.ru/jour/article/view/2677 |
| work_keys_str_mv | AT kkalimuthu sustainabilityindicesandthecalendareffect AT sshaik sustainabilityindicesandthecalendareffect |