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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2025

Kód důvěrnosti údajů

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

Název periodika

Corporate Social Responsibility and Environmental Management

ISSN

1535-3958

e-ISSN

1535-3958

Svazek periodika

32

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

15

Strana od-do

3545-3559

Kód UT WoS článku

001412857200001

EID výsledku v databázi Scopus

2-s2.0-85216762882