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. 2022 May 7;46(4):678–703. doi: 10.1007/s12197-022-09580-0

Table 1.

Static Hurst exponent calculations for the ESG and conventional MSCI indices (R/S analysis)

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