Advantages of ESG Indexes Compared to Traditional Ones in Predicting Stock Prices DOI Open Access
Alex Plastun, Анна Воронцова, Інна Макаренко

et al.

Corporate Social Responsibility and Environmental Management, Journal Year: 2025, Volume and Issue: unknown

Published: Feb. 4, 2025

ABSTRACT This paper investigates the predictability of traditional and ESG indices in Ukrainian stock market, examining potential differences between models. The study tests two hypotheses: (H1) exhibit lower than indices, (H2) different forecasting models should be applied to conventional indices. Various models, including AR, ARIMA, ARCH, GARCH, TGARCH, Logit, Probit regressions, are employed, along with additional tests, using daily data from market (UX, PFTS, WIG indices) spanning 2015–2022. findings confirm both hypotheses for case returns, indicating less need distinct For volatility, there is limited evidence supporting Hypothesis 1, but 2 confirmed. Possible factors explaining results include higher information transparency, liquidity, trading activity research has implications academics practitioners, emphasizing importance employing It also highlights preference speculative activities. suggests that a shift toward represents move more efficient markets.

Language: Английский

Advantages of ESG Indexes Compared to Traditional Ones in Predicting Stock Prices DOI Open Access
Alex Plastun, Анна Воронцова, Інна Макаренко

et al.

Corporate Social Responsibility and Environmental Management, Journal Year: 2025, Volume and Issue: unknown

Published: Feb. 4, 2025

ABSTRACT This paper investigates the predictability of traditional and ESG indices in Ukrainian stock market, examining potential differences between models. The study tests two hypotheses: (H1) exhibit lower than indices, (H2) different forecasting models should be applied to conventional indices. Various models, including AR, ARIMA, ARCH, GARCH, TGARCH, Logit, Probit regressions, are employed, along with additional tests, using daily data from market (UX, PFTS, WIG indices) spanning 2015–2022. findings confirm both hypotheses for case returns, indicating less need distinct For volatility, there is limited evidence supporting Hypothesis 1, but 2 confirmed. Possible factors explaining results include higher information transparency, liquidity, trading activity research has implications academics practitioners, emphasizing importance employing It also highlights preference speculative activities. suggests that a shift toward represents move more efficient markets.

Language: Английский

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