Sustainability-related disclosure rules and financial market indicators: Searching for interconnections in developed and developing countries
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Received July 14, 2023;Accepted August 28, 2023;Published September 1, 2023
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Author(s)Link to ORCID Index: https://orcid.org/0000-0001-7326-5374Link to ORCID Index: https://orcid.org/0000-0003-0603-3869Link to ORCID Index: https://orcid.org/0000-0003-3815-6062Link to ORCID Index: https://orcid.org/0000-0003-3664-7765Link to ORCID Index: https://orcid.org/0000-0002-2093-5263
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DOIhttp://dx.doi.org/10.21511/imfi.20(3).2023.16
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Article InfoVolume 20 2023, Issue #3, pp. 188-199
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In today’s fast-paced business environment, integrating sustainability into financial decision-making has been a key driver of change. As stakeholders increasingly demand greater corporate transparency and accountability, regulatory bodies have stepped in to ensure that sustainability reporting is standardized and robust. This paper aims to establish the relationship between the sustainability-related disclosure rules and the dynamic indicators of the financial market. The object of the study is 74 countries of the world, which are grouped into developed and developing countries. The time period is 2021, for the stock market capitalization indicators – 2020, as the most recent years with available data. The research methods are normality tests (Shapiro-Wilk and Shapiro-Francia test), comparison methods (Student’s t-test and Mann-Whitney U test, regression analysis with dummy variables), linear and non-linear correlation and regression analysis (logarithmic, polynomial). The results obtained confirmed that the sustainability-related disclosure rules are higher in developed countries than in developing ones. At the same time, in developed countries, the growth of such requirements affects the increase in stock price volatility, stock market capitalization, foreign direct and portfolio investments. For developing countries, there is also an increase in the stock market capitalization, portfolio investments and the volume of stock trading. Recognizing these trends can benefit both financial market regulators and participants to encourage the formation of a transparent and efficient financial market, thereby mitigating the problems associated with information asymmetry.
- Keywords
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JEL Classification (Paper profile tab)Q01, E44, G18
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References33
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Tables11
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Figures0
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- Table 1. Characteristics of the input data
- Table 2. Research methodology
- Table 3. Results of statistical tests to test hypothesis Н1
- Table 4. Results of regression analysis with dummy variables to test hypothesis Н1
- Table 5. Results of correlation and regression analysis to test hypothesis Н2
- Table 6. Results of correlation and regression analysis to test hypothesis Н3
- Table 7. Results of correlation and regression analysis to test hypothesis Н5
- Table 8. Results of correlation and regression analysis to test hypothesis Н6
- Table 9. Results of correlation and regression analysis to test hypothesis Н7
- Table 10. Results of testing research hypotheses
- Table A1. Groups of countries analyzed in this study by markets and economic growth
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Conceptualization
Inna Makarenko, Anna Vorontsova, Mykola Gorodysky
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Methodology
Inna Makarenko, Anna Vorontsova
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Writing – original draft
Inna Makarenko, Anna Vorontsova, Larysa Sergiienko, Iryna Hrabchuk
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Writing – review & editing
Inna Makarenko, Anna Vorontsova
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Data curation
Larysa Sergiienko
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Resources
Larysa Sergiienko
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Software
Larysa Sergiienko, Mykola Gorodysky
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Supervision
Larysa Sergiienko
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Investigation
Iryna Hrabchuk
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Project administration
Iryna Hrabchuk
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Formal Analysis
Mykola Gorodysky
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Validation
Mykola Gorodysky
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Visualization
Mykola Gorodysky
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Conceptualization
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Selection of the right proxy market portfolio for CAPM
Investment Management and Financial Innovations Volume 18, 2021 Issue #3 pp. 16-26 Views: 2936 Downloads: 1535 TO CITE АНОТАЦІЯThe purpose of the paper is to select the right market proxy for calculating the expected return, since critically evaluating proxies or selecting the correct proxy market portfolio is essential for portfolio management because the change in the market portfolio proxy affects returns. In this study, monthly data of equity indices are evaluated to find out the better market proxy. The indices taken are BSE 30 (Sensex), Nifty 50, BSE 100, BSE 200, and BSE 500. The macroeconomic variables used in the study are industrial production index (IIP), consumer price index (CPI), money supply (M1), and exchange rate in India. To avoid the influence of COVID-19, the research period was from January 2013 to December 2019 to critically evaluate these proxies in order to find the most appropriate market proxy. This paper reveals a noteworthy relationship between stock market returns and macroeconomic factors, while suggesting that the BSE 500 is a better choice for all equity indices, as the index also shows a significant relationship with all macroeconomic variables. BSE500 is a composite index comprising all sectors with low, mid and large cap securities, therefore it reflects the impact of macroeconomic factors most efficiently, taking it as a market proxy. This study was carried out in the context of India and can be replicated for other countries.
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The performance of the Indian stock market during COVID-19
Rashmi Chaudhary , Priti Bakhshi , Hemendra Gupta doi: http://dx.doi.org/10.21511/imfi.17(3).2020.11Investment Management and Financial Innovations Volume 17, 2020 Issue #3 pp. 133-147 Views: 2744 Downloads: 751 TO CITE АНОТАЦІЯThe current empirical study attempts to analyze the impact of COVID-19 on the performance of the Indian stock market concerning two composite indices (BSE 500 and BSE Sensex) and eight sectoral indices of Bombay Stock Exchange (BSE) (Auto, Bankex, Consumer Durables, Capital Goods, Fast Moving Consumer Goods, Health Care, Information Technology, and Realty) of India, and compare the composite indices of India with three global indexes S&P 500, Nikkei 225, and FTSE 100. The daily data from January 2019 to May 2020 have been considered in this study. GLS regression has been applied to assess the impact of COVID-19 on the multiple measures of volatility, namely standard deviation, skewness, and kurtosis of all indices. All indices’ key findings show lower mean daily return than specific, negative returns in the crisis period compared to the pre-crisis period. The standard deviation of all the indices has gone up, the skewness has become negative, and the kurtosis values are exceptionally large. The relation between indices has increased during the crisis period. The Indian stock market depicts roughly the same standard deviation as the global markets but has higher negative skewness and higher positive kurtosis of returns, making the market seem more volatile.
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How COVID-19 impacts Vietnam’s banking stocks: An event study method
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