financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federation10.26794/2587-5671-2024-28-1-43-51finance-2677Research ArticleФИНАНСОВЫЕ РЫНКИFINANCIAL MARKETSИндексы устойчивости фондового рынка и календарный эффектSustainability Indices and the Calendar Effecthttps://orcid.org/0000-0001-9638-8502КалимутхуК.KalimuthuK.

Кокила Калимутху — научный сотрудник

Ченнай

Kokila Kalimuthu — Research scholar

Chennai

kokila.k2020@vitstudent.ac.inhttps://orcid.org/0000-0002-1781-3863ШаикС.ShaikS.

Салим Шаик — доцент

Ченнай

Saleem Shaik — Assist. Prof.

Chennai

saleemshaik57@gmail.comВеллорский технологический институтИндияVellore Institute of TechnologyIndia2024010320242814351Copyright © Калимутху К., Шаик С., 20242024Калимутху К., Шаик С.Kalimuthu K., Shaik S.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://financetp.fa.ru/jour/article/view/2677

Инвестиционный ландшафт претерпел значительные изменения. Инвесторы заинтересованы в акциях, которые не только увеличивают доход акционеров, но и уделяют первостепенное внимание экологическим, социальным и управленческим вопросам. Цель исследования — определить влияние календарного эффекта на индексы устойчивости Бомбейской фондовой биржи (BSE). Были собраны ежедневные цены закрытия торгов по BSE CARBONEX, BSE GREENEX, BSE 100, BSE Sensex и Nifty. В исследовании используются различные методы: описательная статистика, тест на единичный корень, доходность по дням недели, метод обыкновенных наименьших квадратов (OLS) и модель GARCH (1, 1). Результаты исследования показали, что доходность индексов устойчивости повторяют динамику BSE 100 и Sensex. Наблюдается высокий положительный и статистически значимый эффект вторника в течение полного периода выборки и II периода. Модель GARCH (1, 1) указывает на значительное влияние понедельника на все индексы. Результат, полученный в данной работе, полезен инвесторам для разработки инвестиционной стратегии, ученым для изучения показателей индексов за разные периоды, а бизнесменам для определения тенденций и трендов.

The investing landscape has undergone a significant shift. Investors are interested in stocks that not only increase shareholder  wealth  but  also  give  high  priority to  environmental, social, and  governance  issues. The  purpose  of the study is to examine the  presence  of  a  calendar  effect  on  the  BSE  sustainability  indices. The  daily  closing prices  of  the  BSE  CARBONEX, BSE  GREENEX, BSE 100, BSE  Sensex, and  Nifty have  been  collected. The  study is using various methods like descriptive statistics, the unit root test, the day of the week return, the ordinary least squares method (OLS), and the GARCH (1, 1) model. It  is  clear  from  the  study results  that  sustainability index returns follow the pattern of the BSE 100 and Sensex. There is a high positive and statistically significant Tuesday effect during the full sample period and period II. The GARCH (1, 1) model indicates there is a significant Monday effect on all indices. The result obtained in this paper is useful to investors to frame their investment strategy, for academicians to study the performance of the indices for different periods, and for business people to know the trend and tendencies.

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The authors declare that there are no conflicts of interest present.