Published Online:October 2024
Product Name:The IUP Journal of Accounting Research & Audit Practices
Product Type:Article
Product Code:IJARAP051024
Author Name:Nishi Sharma, Seema Sodhi and Rakesh Shahani
Availability:YES
Subject/Domain:Finance
Download Format:PDF
Pages:85-101
The paper investigates the impact of negative and positive returns of NSE index Nifty 500 on Nifty 100 ESG. The study covers eleven years, from January 1, 2013, to December 31, 2023. Two techniques, E-GARCH and T-GARCH, were employed to determine the impact. The results showed no asymmetric impact on Nifty 100 ESG Index due to changes in Nifty 500. Moreover, no evidence of asymmetric causality was seen between the two indices. Further, the GARCH term in ESG index volatility equation was <1, showing persistence goes away over time. The study identified the best model as AR (1)-GARCH (1,1). The model additionally revealed the lagged dependency of Nifty 100 ESG on Nifty 500. The study gives two encouraging signals: first, the nonexistence of asymmetric returns for ESG Index would give confidence to investors as the impact of bad news is not visible; and second, the lagged dependency of Nifty 100 ESG on Nifty 500 index shows the maturity of investors in not reacting immediately to a change in Nifty 500 Index.
Investment decisions for most investors have traditionally been based on three dimensions: risk, return and liquidity. Recently, the global investing scenario has undergone a paradigm shift after the emergence of a new investment philosophy: sustainability, which is considered a fourth dimension of investing.