Search Results (3)

The Volatility Index (VIX) is a real-time index that has been used as the first measure to quantify market expectations for volatility, which affects the financial market as a main actor of the overall economy that is sensitive to the environmental and social aspects of investors and companies. The VIX is calculated using option prices for the S&P 500 Index (SPX) and is expressed as a percentage. Taking into account that VIX only shows the implicit volatility of the S&P 500 for the next 30 days, the authors develop a model for a near-optimal state trying to avoid uncertainty and insufficient accuracy. The researchers are trying to make a contribution to the theory of socially responsible portfolio management. The developed approach allows potential investments to make decisions regarding such important topics as ethical investing, performance analysis, as well as sustainable investment strategies. The approach of this research allows to use deep probabilistic convolutional neural networks based on conditional variance as a linear function of errors with the aim of estimating and predicting the VIX. For this purpose, the use of technical indicators and economic indexes such as Chicago Board Options Exchange (CBOE) VIX and S&P 500 is considered. The results of estimating and predicting the VIX with the proposed method indicate high precision and create a certainty in modeling to achieve the goals. Full article

Socially responsible investment (SRI) indices provide an interesting opportunity to analyse the links between corporate financial performance (CFP) and corporate sustainability performance (CSP). However, few studies focus on the antecedents of inclusions in and exclusions from SRI indices. Specifically, the implications of corporate sustainability disclosure (CSD) have been largely ignored in this field. Furthermore, previous literature on the CSP-CSD-CFP links shows inconclusive results that have been attributed to both methodological and measurement problems, which suggest the existence of asymmetry, equifinality and complexity amongst these links. This study targets two under-researched areas regarding the determinants of changes in the composition of SRI indices, and the effects of CSD on CSP. This study also attempts to overcome the methodological and measurement limitations of previous studies on the CFP-CSD-CSP links. The study presents a fuzzy-set qualitative comparative analysis (fsQCA) to explore how different combinations of CFP and CSD indicators are related to inclusions in an SRI index (assumed as expressions of a good CSP), and exclusions from an SRI index (equivalent to a poor CSP). The empirical results reveal that a combination of different CSD indicators is necessary, but not sufficient, to lead to the inclusion in or exclusion from an SRI index, and that CFP measures have asymmetrical effects on CSP. CSD is a relevant antecedent or precondition of CSP that can motivate changes in corporate behaviours towards an improved CSP. Poor CSP, leading to an exclusion from the index, is associated with poor CSD and a deterioration of CFP. The implications for researchers, business managers, SRI rating agencies and policymakers are derived. Full article

The influence of social network sentiment on stock market indices and companies has been proven in several studies. However, the influence of social network sentiment on sustainability indices and sustainable companies has not been analyzed so far. Therefore, this study analyzed the influence of social network sentiment on sustainability indices (S&P 500 Environmental & Socially Responsible Index) and focused on variations of this influence on sustainable and non-sustainable companies, namely, in companies included in the Information Technology sector. To this end, two methodologies were used: GARCH (1,1) models and logit-probit models. The results showed that social network sentiment influences S&P 500 Environmental & Socially Responsible Index’s volatility; this influence was greater than the influence of social network sentiment when considering the S&P 500 Index. Additionally, the results showed that social network sentiment influences sustainable companies’ returns but had no effect on unsustainable companies’ returns. These results highlighted the importance of managing the companies’ profiles in social networks and their corporate image in general, because investors will consider these aspects to design their investment strategies. Full article