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Macroeconomic effects on D.J.S.I.-World Returns

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Author(s): Sariannidis, Nikolaos | Koskosas, Ioannis | Kartalis, Nikos | Konteos, George

Journal: International Journal of Economic Sciences and Applied Research
ISSN 1791-5120

Volume: 2;
Issue: 2;
Start page: 95;
Date: 2009;
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Keywords: Corporate Social Responsibility | Socially Responsible Investment | GARCH

ABSTRACT
One of the best known and highly regarded Socially Responsible Investing (SRI) indexesis the Dow Jones Sustainability Index World (D.J.S.I.-World). By using the model ofGeneralized Autoregressive Conditional Heteroskedasticity (GARCH), the relationbetween D.J.S.I.-World returns to 10 year bond returns and Yen/U.S. dollar exchangerate is investigated. Research results show that 10 year bond value affects positively thevalue of D.J.S.I.-World. However, there is a negative relation between Yen/U.S. dollarexchange rate and D.J.S.I.-World with a month delay. According to our results, the totalreturn of D.J.S.I.-World is affected by such macroeconomic factors as the value of 10year bond, the Yen/U.S. dollar exchange rate and the general economic environment. Inthis way, investors can understand better the function of SRI market. Additionally, a newchannel of information is created and better evaluation of D.J.S.I.-World is enabled.

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