Indian Journal of Research in Capital Markets

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Asymmetric Effects of Sustainability Indices in Emerging Asian Countries


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1 Department of Commerce, CHRIST (Deemed to be University), Hosur Road, Bengaluru - 560 029, Karnataka, India

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Sustainable investing has become quite popular in emerging Asian countries as many developing economies are adopting it in their financial markets. This study aimed to analyze the asymmetric effect on the volatility of sustainability indices of five Asian emerging countries, that is, Korea, India, China, Indonesia and Malaysia, along with a developed nation's sustainability index, that is, USA using the exponential GARCH model. The paper also examined the movement of indices alongside each other using the correlation coefficient. The results indicated that even though the indices were correlated, there was an asymmetric impact on the volatility of the indices of emerging Asian countries. This will enable Asian investors to make better decisions regarding their portfolio diversification and selection.

Keywords

Sustainability Indices, Sustainability Investing, EGARCH, Asian Emerging Countries.
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  • Asymmetric Effects of Sustainability Indices in Emerging Asian Countries

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Authors

Heibha Passah
Department of Commerce, CHRIST (Deemed to be University), Hosur Road, Bengaluru - 560 029, Karnataka, India
Gregory George Ninan
Department of Commerce, CHRIST (Deemed to be University), Hosur Road, Bengaluru - 560 029, Karnataka, India
P. S. Anuradha
Department of Commerce, CHRIST (Deemed to be University), Hosur Road, Bengaluru - 560 029, Karnataka, India

Abstract


Sustainable investing has become quite popular in emerging Asian countries as many developing economies are adopting it in their financial markets. This study aimed to analyze the asymmetric effect on the volatility of sustainability indices of five Asian emerging countries, that is, Korea, India, China, Indonesia and Malaysia, along with a developed nation's sustainability index, that is, USA using the exponential GARCH model. The paper also examined the movement of indices alongside each other using the correlation coefficient. The results indicated that even though the indices were correlated, there was an asymmetric impact on the volatility of the indices of emerging Asian countries. This will enable Asian investors to make better decisions regarding their portfolio diversification and selection.

Keywords


Sustainability Indices, Sustainability Investing, EGARCH, Asian Emerging Countries.

References





DOI: https://doi.org/10.17010/ijrcm%2F2020%2Fv7i4%2F157912