Dow Jones sustainability index transmission to oil stock market returns: A GARCH approach

摘要: Abstract Several studies hypothetically assume that investors are increasingly using socio-environmental criteria to configure their portfolios. If this is true, oil companies should strive achieve an environmentally correct image, especially by adhering sustainability indexes in the capital market. not, companies' stock prices still not affected indexes. Therefore, study analyzes impact on market value of a chosen group adhered Dow Jones Sustainability Index (DJSI World). It evaluates variations three indicators: a) systemic risk (beta), b) sensitivity relation crude prices, and c) conditional variance (volatility). Findings our analysis indicate betas only two firms declined due participation DJSI, there was no change volatility or association with price for any firms. consolidated positive – at least statistically proven one between adoption proactive environmental posture companies, reflected adhesion prices.