ABSTRACT
In this paper, we examine the issue of sustainability in the stock markets by comparing various statistical properties of the classical stock market indices against the recent sustainable ones. Weekly and monthly data from Dow Jones, Eurostoxx and Hang Seng indices were collected, and fractional integration methods were used to analyze differences in terms of persistence and mean reversion for both sustainable and common indices. The results indicate high levels of persistence in all cases, observing almost no differences across the markets. Long memory is also detected in the absolute and squared returns in both markets.
Disclosure statement
Luis A. Gil-Alana gratefully acknowledges financial support from the MINEIC-AEI-FEDER ECO2017-85503-R project from ‘Ministerio de Economía, Industria y Competitividad’ (MINEIC), ‘Agencia Estatal de Investigación’ (AEI) Spain and ‘Fondo Europeo de Desarrollo Regional’ (FEDER). Prof. Luis A. Gil-Alana and Dr. Miguel A. Martin-Valmayor also acknowledge financial support from internal Projects of the Universidad Francisco de Vitoria. Comments from the Editor and two anonymous reviewers are gratefully acknowledged.Disclosure statement
No potential conflict of interest was reported by the author(s).
Notes
1 The estimation of the differencing parameter d is usually conducted on the stationary range (0.5 < d < 0.5). Robinson’s (1994) tests, however, allows the examination of d for any real value, including thus those values in the nonstationary range (i.e. d ≥ 0.5).