Title: The comparison of socially responsible indices in Central and Eastern Europe

Authors: Bogna Janik; Marcin Bartkowiak

Addresses: Poznan School of Banking, Al. Niepodleglości 2, 61-874 Poznan, Poland ' Poznan University of Economics, Al. Niepodleglości 10, 61-875 Poznan, Poland

Abstract: The aim of the research is to find the differences and similarities between the indices of socially responsible companies in Central and Eastern Europe (CEE). The scope of the analysis includes sustainable companies listed in the RESPECT, CEERIUS and VONIX indices. Not only was the composition of indices analysed but also their profitability and efficiency were measured. The rate of return and Sharpe ratios as well as modified Sharpe ratios, Sortino ratios, omega ratios, RoVaR for daily and weekly returns were also calculated. The process of selecting companies to be included in the socially responsible indices is different in the Warsaw Stock Exchange and Vienna Stock Exchange. The reason is that the RESPECT index also includes the companies that according to the report by the European Environment Agency (EEA) are on the list of the biggest polluters in Europe.

Keywords: sustainable investment; socially responsible investing; CEE; socially responsible portfolios; Central and Eastern Europe; corporate social responsibility; CSR; sustainability; profitability; efficiency.

DOI: 10.1504/IJETM.2015.068976

International Journal of Environmental Technology and Management, 2015 Vol.18 No.2, pp.153 - 169

Received: 30 Nov 2013
Accepted: 18 Jun 2014
Published online: 06 May 2015 *

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