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dc.contributor.authorDe Dios Alija, Teresa 
dc.contributor.authorDel Río Caballero, Marta
dc.contributor.authorGil Alana, Luis A. 
dc.contributor.authorMartín Valmayor, Miguel Ángel 
dc.date.accessioned2022-06-01T10:30:12Z
dc.date.available2022-06-01T10:30:12Z
dc.date.issued2021
dc.identifier.issn2043-0795spa
dc.identifier.urihttp://hdl.handle.net/10641/2992
dc.description.abstractIn this paper, we examine the issue of sustainability in the stock markets by comparing various statistical properties of the classical stock market indices against the recent sustainable ones. Weekly and monthly data from Dow Jones, Eurostoxx and Hang Seng indices were collected, and fractional integration methods were used to analyze differences in terms of persistence and mean reversion for both sustainable and common indices. The results indicate high levels of persistence in all cases, observing almost no differences across the markets. Long memory is also detected in the absolute and squared returns in both markets.spa
dc.language.isoengspa
dc.publisherJournal of Sustainable Finance & Investmentspa
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subjectSustainabilityspa
dc.subjectFractional integrationspa
dc.subjectPersistencespa
dc.subjectStock marketsspa
dc.subjectLong memoryspa
dc.titleStock market indices and sustainability: A comparison between them.spa
dc.typearticlespa
dc.description.versionpre-printspa
dc.rights.accessRightsopenAccessspa
dc.description.extent458 KBspa
dc.identifier.doi10.1080/20430795.2021.1896988spa
dc.relation.publisherversionhttps://www.tandfonline.com/doi/abs/10.1080/20430795.2021.1896988spa


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