Persistence in ESG and conventional stock market indices

Abstract This paper uses R/S (Rescaled Range) analysis and fractional integration techniques to examine the persistence of two sets 12 ESG (Environmental, Social Governance) conventional stock price indices from MSCI ((Morgan Stanley Capital International) database over period 2007–2020 for a large number both developed emerging markets. Both results imply that there are no significant differences between types in terms degree its dynamic behaviour. However, higher is found markets examined (especially BRICS, i.e. Brazil, Russia, India, China South Africa), which suggests they less efficient thus offer more opportunities profitable trading strategies. Possible explanations these findings include different type companies’ ‘camouflage’ ‘washing’ (green, blue, pink, social, Sustainable Development Goals—SDG) presence rather lax regulations reporting.