An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States

Authors

  • Electra Pitoska Associate Professor Department of Accounting and Finance, School of Management & Economics, Western Macedonia University of Applied Sciences, Greece E-mail: ilpitoska@yahoo.gr & ipitoska@teikoz.gr Tel: 00306944258505
  • Androniki Katarachia Associate Professor Department of Accounting and Finance, School of Management & Economics, Western Macedonia University of Applied Sciences, Greece Katarach@teiwm.gr
  • Grigoris Giannarakis Adjunct Lecturer, Western Macedonia University of Applied Sciences, Department of Business of Administration
  • Charalampos Tsilikas Department of Accounting and Finance, School of Management & Economics, Western Macedonia University of Applied Sciences, Greece E-mail: tsilikas89@yahoo.gr

Abstract

During the last decades there has been an increased interest regarding socially responsible stock indexes. However, there is a limitless literature body regarding the factors that affect these types of indexes. For this reason, this paper intends to investigate whether consumer sentiment, US dollar value to major currencies and Gold prices affecting the returns of Dow Jones Sustainability Index (DJSI) US from September 1999 to September 2016 using monthly data. The generalized autoregressive conditional heteroskedasticity model is used and revealed that consumer sentiment affect positively the DJSI US, while Gold prices and the US dollar value have a negative effect on it. The results of this study add to the international literature by providing important implications for investors and policy makers along with business manager forecasting and planning.

Keywords: Dow Jones Sustainability Index, Consumer Sentiment, Gold, US dollar, GARCH model

JEL Classifications: C58, Q40, Q50, M21

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Published

2017-06-29

How to Cite

Pitoska, E., Katarachia, A., Giannarakis, G., & Tsilikas, C. (2017). An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States. International Journal of Economics and Financial Issues, 7(3), 113–118. Retrieved from https://www.econjournals.com/index.php/ijefi/article/view/4328

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