Performance of ESG Index: An Empirical comparison of S&P BSE 100 ESG Index with selected BSE Stock Indexes
Journal of Contemporary Issues in Business and Government,
2022, Volume 28, Issue 3, Pages 604-611
AbstractEnvironmental, Social and Governance (ESG) are the three central factors in measuring
sustainability of an investment. Investors are increasingly applying these non-financial
factors as a part of their analysis process to identify material risks and growth opportunities.
Therefore, there is a need to study the performance of ESG stocks for better investment
decisions. The objective of the paper is to empirically examine the performance of S&P BSE
100 ESG Index with other selected BSE stock indexes.
For the study, Daily and monthly adjusted closing prices of respective index during the
period from 1st Jan 2018 to 31st Dec 2021 have been collected from BSE and Yahoo finance..
Then index prices have been converted into simple percentage returns. The risk-free rate is
calculated as the daily average implicit yield on 364 days treasury bills over the study period.
Next Karl Pearson’s Co-efficient of correlation is used to study the relationship among these
portfolios. For the performance evaluation, portfolio beta and risk adjusted measures like
Sharpe ratio, Treynor ratio and Jensen measure have been used. T-test is used to check
whether the mean returns of the portfolios are significantly different or not.
The study reveals that Performance of the ESG stock portfolio has outperformed when
compared to Blue chip and Large cap stock portfolio as the Sharpe, Treynor and Jensen ratios
are highest compare to rest of the portfolios. It is found that daily returns of the ESG stock
portfolio are consistent with the monthly returns. During this study period, ESG stocks have
performed better and there is no significant difference among the portfolios in terms of daily
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