Market efficiency & diverse asymmetric effect of sri indices

The present study seeks to examine market efficiency & various asymmetric effects of the Dow-Jones Sustainability responsible indices (DJSI) during different periods by applying various econometric models. It is observed that volatility clustering presents in the indices returns. Significant asymmetric shocks and persistence of conditional volatilities also present in the daily returns of the SRI indices during the entire sub periods and the whole period based on various measures. Leverage effects exist in the indices’ returns during different sub periods based on various measures. Here, GARCH measure is appropriate during the post-recession period for volatility forecasting. The SRI indices don't follow RWH and informationally inefficient at their weak forms.