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- Title
Indian Stock Market Movements and Responsiveness of Sustainability Indices: A Risk Adjusted Analysis.
- Authors
Patel, Sanjay Kumar; Kumari, Poonam
- Abstract
Measuring and managing climate change impact, the concept of carbon accounting and green investing has grabbed attention all over the world nowadays. The climate change impact and green performance of companies is measured and reflected as sustainability indices constructed by stock exchanges around the world. In India, BSE introduced two sustainability indices in 2010 as BSE Carbonex and BSE Greenex for measuring the climate change risk, carbon emissions performance, and promotion of energy efficient practices. The present study attempts to explore the behavior of sustainability indices to market indices. The study examines the movement of BSE Carbonex and BSE Greenex performance in respect to market indices (Sensex & BSE 500) from September 2010 to June, 2019. The performance is evaluated and tested by using the mean of the monthly return and through risk adjusted measures, i.e. Sharpe's ratio, Treynor's ratio, and Jensen's alpha. The study finds that the Carbonex index performance is similar to the BSE Sensex and BSE 500. Greenex index performance is slightly lower than both BSE Sensex and BSE 500. The study suggests that sustainability indices can be used by investors as better performing indices to satisfy the urge of green investment.
- Subjects
INDIA; STOCK exchanges; RISK assessment; SUSTAINABLE investing; ENVIRONMENTAL auditing; SHARPE ratio
- Publication
International Management Review, 2020, Vol 16, Issue 1, p55
- ISSN
1551-6849
- Publication type
Article