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

Electra Pitoska; Androniki Katarachia; Grigoris Giannarakis; Charalampos Tsilikas

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

Yıl 2017, Cilt: 7 Sayı: 3, 113 - 118, 01.09.2017

Electra Pitoska Androniki Katarachia Grigoris Giannarakis Charalampos Tsilikas

Öz

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.

Anahtar Kelimeler

Dow Jones Sustainability Index , Consumer Sentiment , Gold , US Dollar , Generalized Autoregressive Conditional Heteroskedasticity Model

Yıl 2017, Cilt: 7 Sayı: 3, 113 - 118, 01.09.2017

Electra Pitoska Androniki Katarachia Grigoris Giannarakis Charalampos Tsilikas

Öz

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Ayrıntılar

Diğer ID	JA35KV62VS
Yazarlar	Electra Pitoska Bu kişi benim Androniki Katarachia Bu kişi benim Grigoris Giannarakis Bu kişi benim Charalampos Tsilikas Bu kişi benim
Yayımlanma Tarihi	1 Eylül 2017
Yayımlandığı Sayı	Yıl 2017 Cilt: 7 Sayı: 3

Kaynak Göster

APA	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.
AMA	Pitoska E, Katarachia A, Giannarakis G, Tsilikas C. An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States. IJEFI. Eylül 2017;7(3):113-118.
Chicago	Pitoska, Electra, Androniki Katarachia, Grigoris Giannarakis, ve Charalampos Tsilikas. “An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States”. International Journal of Economics and Financial Issues 7, sy. 3 (Eylül 2017): 113-18.
EndNote	Pitoska E, Katarachia A, Giannarakis G, Tsilikas C (01 Eylül 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.
IEEE	E. Pitoska, A. Katarachia, G. Giannarakis, ve C. Tsilikas, “An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States”, IJEFI, c. 7, sy. 3, ss. 113–118, 2017.
ISNAD	Pitoska, Electra vd. “An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States”. International Journal of Economics and Financial Issues 7/3 (Eylül2017), 113-118.
JAMA	Pitoska E, Katarachia A, Giannarakis G, Tsilikas C. An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States. IJEFI. 2017;7:113–118.
MLA	Pitoska, Electra vd. “An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States”. International Journal of Economics and Financial Issues, c. 7, sy. 3, 2017, ss. 113-8.
Vancouver	Pitoska E, Katarachia A, Giannarakis G, Tsilikas C. An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States. IJEFI. 2017;7(3):113-8.