Sustainability Indices and the Calendar Effect
https://doi.org/10.26794/2587-5671-2024-28-1-43-51
Abstract
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.
About the Authors
K. Kalimuthu
Vellore Institute of Technology
India
India
Kokila Kalimuthu — Research scholar
Chennai
S. Shaik
Vellore Institute of Technology
India
India
Saleem Shaik — Assist. Prof.
Chennai
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Review
For citations:
Kalimuthu K., Shaik S. Sustainability Indices and the Calendar Effect. Finance: Theory and Practice. 2024;28(1):43-51. https://doi.org/10.26794/2587-5671-2024-28-1-43-51
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