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Market Efficiency of Traditional Stock Market Indices and Social Responsible Indices: The Role of Sustainability Reporting

Henry Mynhardt, Inna Makarenko and Alex Plastun (2017). Market efficiency of traditional stock market indices and social responsible indices: the role of sustainability reporting. Investment Management and Financial Innovations, 14(2), 94-106. doi:10.21511/imfi.14(2).2017.09

14 Pages Posted: 15 Jun 2017  

Ronald Henry Mynhardt

University of South Africa

Inna Makarenko

National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine

Oleksiy Plastun

Sumy State University

Date Written: June 2, 2017

Abstract

Corporate social responsibility, disclosed in sustainability reporting, influences the financial performance of companies. As a result, traditional stock market indices (TI) are expanded with the social responsible stock market indices (SRI). The aim of this study was to establish whether there are any differences in the behavior of the TI and SRI. To do this, the authors analyzed their efficiency. They used R/S analysis to calculate the Hurst exponent as a measure of persistence (long-term memory property).

The presence of persistence was evidence in favor of less efficiency. According to empirical results, SRI has lower efficiency, in particular the Dow Jones Sustainability Index. Lower efficiency was also observed in the emerging markets with a responsible investment segment, compared to the traditional stock market indices. Further standardization and a common methodological approach to corporate sustainability reporting disclosure are proposed.

Keywords: corporate social responsibility, sustainability reporting, long-term memory, social responsible indices, efficient market hypotheses (EMH)

JEL Classification: G02, G14, M41

Suggested Citation

Mynhardt, Ronald Henry and Makarenko, Inna and Plastun, Oleksiy, Market Efficiency of Traditional Stock Market Indices and Social Responsible Indices: The Role of Sustainability Reporting (June 2, 2017). Henry Mynhardt, Inna Makarenko and Alex Plastun (2017). Market efficiency of traditional stock market indices and social responsible indices: the role of sustainability reporting. Investment Management and Financial Innovations, 14(2), 94-106. doi:10.21511/imfi.14(2).2017.09. Available at SSRN: https://ssrn.com/abstract=2986354

Ronald Henry Mynhardt

University of South Africa ( email )

P.O. Box 392
UNISA
Pretoria, Gauteng 0003
South Africa

Inna Makarenko

National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine

57, Petropavlivska str.
Sumy, 40030
Ukraine

Oleksiy Plastun (Contact Author)

Sumy State University ( email )

Rymskyi-Korsakov str., 2
Sumy, 40000
Ukraine

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