Full metadata record
DC poleHodnotaJazyk
dc.contributor.authorHernaus, Ana Ivanisevic
dc.contributor.authorZoricic, Davor
dc.contributor.authorDolinar, Denis
dc.date.accessioned2023-06-12T07:36:31Z
dc.date.available2023-06-12T07:36:31Z
dc.date.issued2023
dc.identifier.citationE+M. Ekonomie a Management = Economics and Management. 2023, roč. 26, č. 2, s. 172–188.cs
dc.identifier.issn1212-3609 (Print)
dc.identifier.issn2336-5604 (Online)
dc.identifier.urihttp://hdl.handle.net/11025/52795
dc.format17 s.cs
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.publisherTechnická univerzita v Libercics
dc.rightsCC BY-NC 4.1en
dc.subjectudržitelné a odpovědné investicecs
dc.subjectanalýza výkonucs
dc.subjectexpozice rizikových faktorůcs
dc.subjectstřední a východní Evropacs
dc.subjectpřepínání režimůcs
dc.titleHow competitive is SRI in developing financial markets: The case of Central and Eastern Europeen
dc.typečlánekcs
dc.typearticleen
dc.rights.accessopenAccessen
dc.type.versionpublishedVersionen
dc.description.abstract-translatedThis 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.en
dc.subject.translatedsustainable and responsible investmenten
dc.subject.translatedperformance analysisen
dc.subject.translatedrisk factor exposuresen
dc.subject.translatedCentral and Eastern Europeen
dc.subject.translatedregime-switchingen
dc.identifier.doihttps://doi.org/10.15240/tul/001/2023-2-011
dc.type.statusPeer-revieweden
Vyskytuje se v kolekcích:Číslo 2 (2023)
Číslo 2 (2023)

Soubory připojené k záznamu:
Soubor Popis VelikostFormát 
EM_2_2023_11.pdfPlný text681,61 kBAdobe PDFZobrazit/otevřít
Zobrazit minimální záznam Zobrazit statistiky


Použijte tento identifikátor k citaci nebo jako odkaz na tento záznam: http://hdl.handle.net/11025/52795

Všechny záznamy v DSpace jsou chráněny autorskými právy, všechna práva vyhrazena.

hledání
navigace
  1. DSpace at University of West Bohemia
  2. Publikace ZČU / UWB Publications
  3. Časopisy ZČU / UWB Journals
  4. Ekonomie a management
  5. 2023
  6. Číslo 2 (2023)