Cluster analysis to validate the sustainability label of stock indices: An analysis of the inclusion and exclusion processes in terms of size and ESG ratings

Vilas, Pablo (Universidad de Zaragoza) ; Andreu, Laura (Universidad de Zaragoza) ; Sarto, José Luis (Universidad de Zaragoza)

Resumen: Sustainability stock indices play an important role in guiding socially responsible funds to their constituents. Thus, to find out whether the term sustainability is more than just a label, we analyze the inclusion and exclusion criteria applied by sustainability indices, and we compare them with those applied by conventional indices. We analyze the level of sustainability and size of the companies included in and excluded from five sustainability indices compared to a control group of 11 conventional indices. Our results show that the level of sustainability influences the inclusion process and, to a lesser extent, the exclusion process of the five FTSE4Good indices. However, we find similar results for several conventional indices. In addition, the size criterion dominates the sustainability criterion in the inclusion and exclusion processes of sustainability indices like in conventional indices. Further, we use different cluster algorithms to determine that the inclusion and exclusion processes of four of the five sustainability indices are different from those of the conventional indices. Our results validate the use of the “sustainability” label for four of five sustainability indices but also show that further differentiation between sustainability and conventional indices is needed.

Idioma: Inglés

DOI: 10.1016/j.jclepro.2021.129862

Año: 2022

Publicado en: Journal of Cleaner Production 330 (2022), 129862 [14 pp.]
ISSN: 0959-6526

Factor impacto JCR: 11.1 (2022)

Categ. JCR: ENGINEERING, ENVIRONMENTAL rank: 8 / 55 = 0.145 (2022) - Q1 - T1
Categ. JCR: GREEN & SUSTAINABLE SCIENCE & TECHNOLOGY rank: 8 / 46 = 0.174 (2022) - Q1 - T1
Categ. JCR: ENVIRONMENTAL SCIENCES rank: 22 / 275 = 0.08 (2022) - Q1 - T1

Factor impacto CITESCORE: 18.5 - Engineering (Q1) - Energy (Q1) - Business, Management and Accounting (Q1) - Environmental Science (Q1)

Factor impacto SCIMAGO: 1.981 - Environmental Science (miscellaneous) (Q1) - Strategy and Management (Q1) - Renewable Energy, Sustainability and the Environment (Q1) - Industrial and Manufacturing Engineering (Q1)

Financiación: info:eu-repo/grantAgreement/ES/DGA/S38-20R
Financiación: info:eu-repo/grantAgreement/ES/MCIU-AEI-FEDER/RTI2018-093483-B-I00
Financiación: info:eu-repo/grantAgreement/ES/MICINN-AEI/10.13039/501100011033

Tipo y forma: Article (Published version)

Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)