Advantages of ESG Indexes Compared to Traditional Ones in Predicting Stock Prices

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F25%3A106220" target="_blank" >RIV/60460709:41110/25:106220 - isvavai.cz</a>

Result on the web

<a href="https://onlinelibrary.wiley.com/doi/abs/10.1002/csr.3149?getft_integrator=clarivate&utm_source=clarivate&utm_source=clarivate" target="_blank" >https://onlinelibrary.wiley.com/doi/abs/10.1002/csr.3149?getft_integrator=clarivate&utm_source=clarivate&utm_source=clarivate</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1002/csr.3149" target="_blank" >10.1002/csr.3149</a>

Result language

angličtina

Original language name

Advantages of ESG Indexes Compared to Traditional Ones in Predicting Stock Prices

Original language description

This paper investigates the predictability of traditional and ESG indices in the Ukrainian stock market, examining potential differences between models. The study tests two hypotheses: (H1) ESG indices exhibit lower predictability than traditional indices, and (H2) different forecasting models should be applied to ESG and conventional indices. Various forecasting models, including AR, ARIMA, ARCH, GARCH, TGARCH, Logit, and Probit regressions, are employed, along with additional tests, using daily data from the Ukrainian stock market (UX, PFTS, and WIG indices) spanning 2015-2022. The findings confirm both hypotheses for the case of returns, indicating less predictability for ESG indices and the need for distinct models. For volatility, there is limited evidence supporting Hypothesis 1, but Hypothesis 2 is confirmed. Possible factors explaining the results include higher information transparency, liquidity, and trading activity in ESG indices. The research has implications for academics and practitioners, emphasizing the importance of employing different models for forecasting ESG and traditional indices. It also highlights the preference for traditional indices in trading and speculative activities. The study suggests that a shift toward ESG indices represents a move toward more efficient markets.

Czech name

—

Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

50202 - Applied Economics, Econometrics

Project

—

Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2025

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Corporate Social Responsibility and Environmental Management

ISSN

1535-3958

e-ISSN

1535-3958

Volume of the periodical

32

Issue of the periodical within the volume

3

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

15

Pages from-to

3545-3559

UT code for WoS article

001412857200001

EID of the result in the Scopus database

2-s2.0-85216762882