CHARACTERISTICS OF THE RETURN AND RISK OF THE SUSTAINABLY DEVELOPED COMPANIES WITHIN THE EURO ZONE
Viorica Chirilă, C. Chirilă
The concept of sustainable development has determined a major change in the approach of economic development issues by ensuring a dynamic balance between the components of the natural capital and the social-economic systems. The sustainable development deals with the concept of life quality in its complexity, from an economic, social and environmental aspect, promoting the balance among the economic development, the social equity, the efficient use and the conservation of the surrounding environment. As regards the business sector, the sustainable development implies the approach of some strategies and activities that could meet the needs of the companies and their owners but which, at the same time, protects the human resources they will need in the future. By means of the cooperation among the Dow Jones Indexes, STOXX Limited and SAM the first global indexes were born, reflecting the general tendency of the sustainably developed companies in Europe or in the Euro zone. The aim of this study is to analyze the characteristics of the return and risk of the sustainably developed companies that are part of the index portfolio in the Euro zone. Identifying the characteristics of the return and risk allows us to study their implications on the investors’ decisions. In order to attain our goal, we shall use statistical and econometric models. The results of the analysis enable us to ascertain that the returns of the index portfolio are leptokurtic, are correlated among them, are dependent and do not follow normal distributions while the portfolio risk varies in time.
Key words: stock market index, risk, return, GARCH-M, EGARCH