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https://doi.org/10.1080/09603107.2012.665593

has been cited by the following article:

• TITLE: ESG Indices Efficiency in Five MENA Countries: Application of the Hurst Exponent

  AUTHORS: Mouncif Harabida, Bouchra Radi, Jean-Pierre Gueyie

  KEYWORDS: Efficient Market Hypothesis, Hurst Exponent, Long-Term Dependence, ESG Indices, Conventional Indices, MENA Region

  JOURNAL NAME: Theoretical Economics Letters, Vol.13 No.2, March 6, 2023

  ABSTRACT: The efficient market hypothesis (EMH) is one of the main theories related to financial markets. This hypothesis is based on the idea that stock prices already reflect all available market information. In its weak form, the EMH states that future prices cannot be predicted by analyzing historical asset prices. This paper aims to test the effectiveness of environmental, social and governance (ESG) indices in the Middle East and North Africa region (MENA) and compare them with their conventional counterparts. The sample data covers the period from September 27 2018 to December 23 2021 in daily frequency. Our empirical approach is based on Hurst behavior using the R/S statistic. The results reject the market efficiency hypothesis for both ESG and conventional indices and show that these indices are significantly inefficient with persistent returns. In terms of the level of efficiency between the ESG and conventional indices, the study does not indicate significant differences.