SRI在发展中金融市场的竞争力如何:以中欧和东欧为例

IF 1.4 4区 经济学 Q3 ECONOMICS
Ana Ivanisevic Hernaus, D. Zoričić, Denis Dolinar
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引用次数: 0

摘要

本研究探讨了可持续和负责任投资(SRI)在中欧和东欧(CEE)金融市场的竞争力。具体而言,我们检验了SRI指数与中东欧地区两个传统基准指数之间的收益和波动性是否存在统计学上显著的可衡量差异。为了检验市场波动是否会影响结果,我们应用马尔可夫状态切换模型来检验高波动和低波动环境下的性能。我们还使用Fama-French三因素模型来分析潜在的优异表现来源,并验证初步分析结果。该分析涵盖了11年期间(2011年1月至2021年12月),并基于维也纳证券交易所提供的指数:CECE SRI、CECE Composite和CECE MID的月度回报。我们的研究结果表明,中东欧国家发展中金融市场的SRI现象遵循与发达金融市场相似的表现模式。在中东欧区域,可持续和负责任的投资与传统投资具有竞争力。然而,SRI指数与传统基准之间的回报差异在统计上不显著。虽然SRI指数和大型CECE综合指数之间的波动性在统计上有显著差异,但我们没有发现任何证据表明,在CECE SRI指数的分析收益中,存在SRI因素。我们对SRI回报的分析指出了常见风险因素(如市场和规模)的统计显著性,这与分析的传统基准相似,alpha不具有统计显著性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
How competitive is SRI in developing financial markets: The case of Central and Eastern Europe
This study investigates the competitiveness of sustainable and responsible investment (SRI) in Central and Eastern European (CEE) financial markets. Specifically, we examined whether a statistically significant measurable difference in the return and volatility between an SRI index and two conventional benchmark indices in the CEE region exists. To test whether the market volatility may affect the results, we applied a Markov regime-switching model to examine the performance in high and low volatility environments. We also used the Fama-French three-factor model to analyse the potential sources of outperformance and verify the initial analysis results. The analysis covered an eleven-year period (January 2011–December 2021) and was based on monthly returns of indices available on the Vienna Stock Exchange: CECE SRI, CECE Composite and CECE MID. Our findings showed that the SRI phenomenon in developing financial markets of the CEE countries followed performance patterns similar to ones in developed financial markets. Sustainable and responsible investment is competitive with conventional investment in the CEE region. However, the differences in returns between the SRI index and conventional benchmarks were statistically insignificant. Although a statistically significant difference in volatility between the SRI index and the large-cap CECE Composite index was reported, we did not find any evidence of exposure to the SRI factor regarding the analysed returns of the CECE SRI index. Our analysis of SRI returns pointed to the statistical significance of the common risk factors, such as the market and the size, which is similar to the analysed conventional benchmarks, with alpha not being statistically significant.
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来源期刊
CiteScore
2.70
自引率
13.30%
发文量
35
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