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| Titel: |
Macroeconomic effects on D.J.S.I.-World Returns |
| Auteur: |
Sariannidis, Nikolaos Koskosas, Ioannis Kartalis, Nikos Konteos, George |
| Verschenen in: |
International journal of economic sciences and applied research |
| Paginering: | Jaargang 2 (2009) nr. 2 pagina's 95-110 |
| Jaar: |
2009 |
| Inhoud: |
One of the best known and highly regarded Socially Responsible Investing (SRI) indexesis the Dow Jones Sustainability Index World (D.J.S.I.-World). By using the model ofGeneralized Autoregressive Conditional Heteroskedasticity (GARCH), the relationbetween D.J.S.I.-World returns to 10 year bond returns and Yen/U.S. dollar exchangerate is investigated. Research results show that 10 year bond value affects positively thevalue of D.J.S.I.-World. However, there is a negative relation between Yen/U.S. dollarexchange rate and D.J.S.I.-World with a month delay. According to our results, the totalreturn of D.J.S.I.-World is affected by such macroeconomic factors as the value of 10year bond, the Yen/U.S. dollar exchange rate and the general economic environment. Inthis way, investors can understand better the function of SRI market. Additionally, a newchannel of information is created and better evaluation of D.J.S.I.-World is enabled. |
| Uitgever: |
Kavala Institute of Technology (provided by DOAJ) |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 2 van 6 gevonden artikelen
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