2010 Vol. 4 Num. 2 - GCG: Revista de GlobalizaciÃ³n, Competitividad ...

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Conditional volatility in sustainable and traditional stock exchange indexes: analysis of the Spanish market108 The FTSE4Good-IBEX was launched in cooperation with Bolsas y Mercados Españoles1(BME). Its screening criteria are developed using a thorough market consultation processand are shaped by a broad range of stakeholders including NGOs, government bodies,consultants, academics, the investment community and the corporate sector. Corporateresponsibility data used to assess the constituents of the FTSE4Good-IBEX are provided bythe Ethical Investment Research Service2 (EIRIS) and its network of international partners,which includes the Fundación Ecología y Desarrollo3 (ECODES) in Spain (FTSE, 2008). Theselection of companies is based on a three-step procedure and covers three key areas (environment,social and human rights):a) The eligible universe is based on constituents of the IBEX35 and FTSE Spain AllCap Index.b) Companies with business interests in tobacco and weapons systems, companiesmanufacturing either whole, strategic parts, or platforms for nuclear weapons systems, andowners or operators of nuclear power stations are excluded.c) The inclusion criteria are based on environmental issues (environmental management,climate change) and social concerns (human and labour rights, supply chain labourstandards and countering bribery).The FTSE4Good-IBEX is not a static index because it is reviewed twice a year in order toadd or remove companies, depending on their economic, social and environmental performance4.3. Sample Selection and Data DescriptionThe empirical analysis was carried out on the IBEX35 and FTSE4Good-IBEX indexes. Informationabout historical closing prices and other interesting data for both indexes is freelyavailable at http://www.bolsamadrid.es. The initial data obtained refers to the daily closingprices (in Euro currency) for both indexes, adjusted by dividends and capital increases forthe period from 9 April 2008 to 5 February 2010 inclusive. 465 daily closing prices wereobtained that cover all the information available to date (referring to the FTSE4Good-IBEX).Table II shows the main descriptive statistics of the log-differences series (return series) ofboth indexes during the period analysed.1. Visit http://www.bolsasymercados.es/ for more details about BME.2. More information about EIRIS research and publications can be obtained at http://www.eiris.org/3. Additional information about ECODES work can be obtained at http://www.ecodes.org/4. Further information about the screening criteria and the FTSE4Good indexes’ rules can be obtained at http://www.ftse.com/Indices/FTSE4Good_Index_Series/index.jsp and specifically for the FTSE4Good-IBEX at http://www.ftse.com/Indices/FTSE4Good_IBEX_Index/index.jspGCG GEORGETOWN UNIVERSITY - UNIVERSIA 2010 VOL. 4 NUM. 2 ISSN: 1988-7116
Eduardo Ortas, José M. Moneva & Manuel SalvadorTable II. Descriptive statistics of IBEX35 and FTSE4Good-IBEX return series109IBEX35FTSE4Good-IBEXMean -0.0640% -0.0703%Median 0.0984% 0.0706%Maximum 10.1176% 9.5260%Minimum -9.5858% -7.9996%Std. Dev. 2.0895 1.9495Skewness 0.0659 0.0763Kurtosis 6.8234*** 6.3996***Jarque-Bera 282.9587*** 223.8975****** Significant at 1% level, ** Significant at 5% level, * Significant at 10% levelOver the period analysed, the IBEX35 mean daily return is -0.064%, while mean daily returnfor the FTSE4Good-IBEX were slightly lower -0.0703%. The main daily return of both seriespresented non-significant differences, given that t-test estimate of equality of means was0.0473 (p-value: 0.9623, df: 926). However, the standard deviation of the daily returns of theFTSE4Good-IBEX is lower than that of the IBEX35, which shows a smaller overall variabilityin the FTSE4Good-IBEX daily returns. The Jensen’s alpha was also calculated in order totest if the FTSE4Good-IBEX out or under-performance the IBEX35 during the period analysed35(Jensen, 1968). It has been computed by the excess returns of the benchmark index ( r )on the excess returns of the SRI equity index (Ftse4Good−Ibexr t). Although other works, mainlyfocused on SRI funds performance, compute monthly excess returns in order to obtain theJensen’s Alpha (Luther et al., 1992; Hamilton et al., 1993; Luther and Matatko, 1994; White,1995, Gregory et al., 1997; Carhart, 1997; Schöder, 2004; Kreander et al., 2005; Schröder,Ibex352007; Renneboog et al., 2008b), in this research r Ftse4Good−tand r trefers to daily excessreturns of both indexes (IBEX35 and FTSE4Good-IBEX). Daily excess returns of both indexeshave been computed by the difference between their daily returns and a risk-free interestrate (one-day Spanish Treasury bill repo rates have been used as a proxy of the return on therisk-free asset).Ibex35trFtseGood−Ibext= α + βr+ εIbex3 35 5tt(1)Equation (1) represents the relative performance of the introduced equity indices. As notedby Schröder (2007), it is not necessary to include additional factors into the equation, likewhen analysing investment funds relative performance. This is because FTSE4Good-IBEX isonly restructured twice per year, there is no active portfolio management and the investmentGCG GEORGETOWN UNIVERSITY - UNIVERSIA 2010 VOL. 4 NUM. 2 ISSN: 1988-7116
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CARTA DEL EDITOR IN CHIEFEditor in
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SUMARIO SUMMARY SUMÁRIO1Ú2Efectos
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StaffDe la Torre, José, Dean, Chap
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Staff2. MULTINACIONALES, INVERSIÓN
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SELECCIÓN PROCEDURE PROCEDIMENTOIN
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Instrucciones para Autores y Proced
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Instrucciones para Autores y Proced
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16 Efectos de la inversión en I+Ds
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Efectos de la inversión en I+D sob
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28El Pacto Mundial de las NacionesU
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El Pacto Mundial de las Naciones Un
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40La política de Industrializació
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La política de Industrialización
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54autorMiguel Blanco-Callejo 1Depar
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