Table 1.
Index | ESG (p-values and confidence intervals—CI*) |
Conventional (p-values and confidence intervals—CI) |
Difference, % |
---|---|---|---|
MSCI USA |
0.53 (p = 0.00; CI = 0.51–0.54) |
0.53 (p = 0.00; CI = 0,51–0,55) |
0% |
MSCI UK ESG |
0.53 (p = 0.00; CI = 0.51–0.54) |
0.53 (p = 0.00; CI = 0.51–0.54) |
0% |
MSCI CHINA ESG |
0.57 (p = 0.00; CI = 0.56–0.58) |
0.58 (p = 0.00; CI = 0.57–0.59) |
-2% |
MSCI INDIA ESG |
0.54 (p = 0.00; CI = 0.53–0.55) |
0.56 (p = 0.00; CI = 0.54–0.57) |
-2% |
MSCI JAPAN ESG |
0.53 (p = 0.00; CI = 0.51–0.54) |
0.53 (p = 0.00; CI = 0.52–0.54) |
-1% |
MSCI SOUTH AFRICA |
0.51 (p = 0.00; CI = 0.49–0.53) |
0.51 (p = 0.00; CI = 0.50–0.53) |
-1% |
MSCI WORLD |
0.55 (p = 0.00; CI = 0.53–0.57) |
0.56 (p = 0.00; CI = 0.54–0.57) |
-1% |
MSCI BRIC |
0.60 (p = 0.00; CI = 0.59–0.61) |
0.59 (p = 0.00; CI = 0.58–0.60) |
2% |
MSCI EMERGING MKTS |
0.58 (p = 0.00; CI = 0.57–0.59) |
0.59 (p = 0.00; CI = 0.58–0.60) |
-1% |
MSCI EAFE |
0.56 (p = 0.00; CI = 0.54–0.57) |
0.56 (p = 0.00; CI = 0.54–0.57) |
-1% |
MSCI EUROPE |
0.54 (p = 0.00; CI = 0.53–0.55) |
0.54 (p = 0.00; CI = 0.53–0.55) |
0% |
MSCI PACIFIC |
0.54 (p = 0.00; CI = 0.53–0.56) |
0.55 (p = 0.00; CI = 0.54–0.56) |
-1% |
*p-values are reported concerning the statistical significance of the estimated Hurst exponents