The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context
We examine the impact on returns, risk and liquidity of stocks in the Asia Pacific markets when included into and deleted from the Dow Jones Sustainability World Index over the period 2002–2010. Using an event study methodology, we test five existing hypotheses and two new ones, called the ‘‘sustain...
| Main Authors: | , |
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| Format: | Journal Article |
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Elsevier BV * North-Holland
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/38368 |
| _version_ | 1848755301841371136 |
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| author | Cheung, Adrian Roca, E. |
| author_facet | Cheung, Adrian Roca, E. |
| author_sort | Cheung, Adrian |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | We examine the impact on returns, risk and liquidity of stocks in the Asia Pacific markets when included into and deleted from the Dow Jones Sustainability World Index over the period 2002–2010. Using an event study methodology, we test five existing hypotheses and two new ones, called the ‘‘sustainability taste hypothesis’’ and ‘‘sustainability redundancy hypothesis’’, which we developed. Consistent with the ‘‘sustainability redundancy hypothesis’’, we find that both index addition and index deletion stocks experience a significant decline in returns, an increase in trading volume, no change in systematic risk and an increase in idiosyncratic risk. This indicates that sustainability matters to Asia Pacific investors, although in a somewhat negative manner. |
| first_indexed | 2025-11-14T08:54:08Z |
| format | Journal Article |
| id | curtin-20.500.11937-38368 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:54:08Z |
| publishDate | 2013 |
| publisher | Elsevier BV * North-Holland |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-383682017-09-13T16:08:57Z The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context Cheung, Adrian Roca, E. corporate sustainability event study Asia Pacific index additions and deletions We examine the impact on returns, risk and liquidity of stocks in the Asia Pacific markets when included into and deleted from the Dow Jones Sustainability World Index over the period 2002–2010. Using an event study methodology, we test five existing hypotheses and two new ones, called the ‘‘sustainability taste hypothesis’’ and ‘‘sustainability redundancy hypothesis’’, which we developed. Consistent with the ‘‘sustainability redundancy hypothesis’’, we find that both index addition and index deletion stocks experience a significant decline in returns, an increase in trading volume, no change in systematic risk and an increase in idiosyncratic risk. This indicates that sustainability matters to Asia Pacific investors, although in a somewhat negative manner. 2013 Journal Article http://hdl.handle.net/20.500.11937/38368 10.1016/j.asieco.2012.08.002 Elsevier BV * North-Holland restricted |
| spellingShingle | corporate sustainability event study Asia Pacific index additions and deletions Cheung, Adrian Roca, E. The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context |
| title | The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context |
| title_full | The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context |
| title_fullStr | The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context |
| title_full_unstemmed | The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context |
| title_short | The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context |
| title_sort | effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: evidence from the asia pacific context |
| topic | corporate sustainability event study Asia Pacific index additions and deletions |
| url | http://hdl.handle.net/20.500.11937/38368 |