Nikolaos Sariannidis

Financial, governance and environmental determinants of corporate social responsible disclosure

Purpose – The purpose of this paper is to investigate the vital determinants on the extent of corporate social responsibility (CSR) disclosure in a US context. The selected variables are CEO duality, the presence of women in the board, greenhouse gas (GHG) emissions, emission reduction initiatives, companys risk premium, financial leverage and industrys profile. Design/methodology/approach – The environmental, social and governance (ESG) disclosure score is used as a proxy for the extent of CSR disclosure calculated by Bloomberg. The influence of plausible variables on the ESG disclosure score and its sub-categories was examined by using the least squares dummy variable model (LSDV) incorporating 100 companies listed on Standard & Poors 500 Index for the period 2009-2012. Findings – The results show that the emission reduction initiatives and GHG emissions influence positively the extent of ESG score. In addition, slight differences exist concerning the determinants of different types of disclosures. F...

A GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinguish between the Total Market Index and the Sustainability Index

The paper examines the impact of several macroeconomic variables on the Dow Jones Sustainability and Dow Jones Wilshire 5000 indexes, using a GARCH model and monthly data for the period January, 2000 to January, 2008. The results show that changes in returns of crude oil prices affect negatively the U.S. stock market, contrary to changes in returns of the 10-year bond value that affect it positively. Both economic indicators influence the DJSI with a month delay. Also, the exchange rate volatility affects negatively the returns of the U.S. stock market and the non-farm payroll can be characterised as a stabilising factor for the DJSI.

The relation between voluntary carbon disclosure and environmental performance: The case of S&P 500

Purpose The purpose of this study is to investigate the effect of environmental performance on the environmental disclosure level. Design/methodology/approach Carbon disclosure leadership index score is considered as a proxy of carbon disclosure level, while greenhouse gas (GHG) emissions as a proxy of environmental performance. In addition, six control variables are used: return on assets, financial leverage, company’s size, CEO duality, board size and percentage of independent directors on board. The sample comprises 102 companies from a population of Standard & Poor’s 500 (S&P 500) companies over a five-year period, 2009-2013. Findings Results revealed that higher pollution levels in terms of GHG emissions affect negatively the dissemination of carbon disclosure information, suggesting a positive relationship between environmental performance and environmental disclosure level. In addition, companies with good environmental performance in relation to their average environmental performance disseminate more carbon information in their disclosures. Thus, the carbon disclosure level is indicative of environmental performance consistent with the voluntary disclosure theory. Practical implications The managerial behavior regarding the relation of environmental disclosure and environmental performance is explained. In addition, the findings should be of use to those investors interested in finding carbon emission information so that they assess investments and evaluate their current portfolios in terms of environmental sustainability. Originality/value It is intended to ascertain the reliability level of carbon disclosure regarding carbon emission information by incorporating the carbon disclosure leadership index score and GHG emissions.

Volatility of stock returns: the case of the Belgian Stock Exchange

This investigation focuses on the volatility of stock returns in the Belgian Stock Exchange from the period of April 1991 to April 2008. Empirical results have shown that there is a mean and volatility spillover effect from the big European markets. There are also mean spillover effects from the markets of the USA and the UK to the market of Belgium. The formation of Euronext stock exchange in September 2000 has affected the conditional volatility. Ultimately, the structural analysis of volatility with the GJR-GARCH model have shown that current volatility is more influenced by past volatility rather than by the previous day shocks.

The effect of weather on the European stock market: The case of Dow Jones Sustainability Europe Index

Purpose The purpose of this paper is to ascertain whether weather variables can explain the stock return reaction on the Dow Jones Sustainability Europe Index by employing a number of macroeconomic indicators as control variables. Design/methodology/approach The authors incorporate the generalized autogressive conditional heteroskeasticity model in methodology for the period August 26, 2009 to May 30, 2014 using daily data. Findings The empirical results indicate that not only do changes in humidity and wind levels seem to affect positively the European stock market but changes in returns oil and gold prices as well. However, the results show that the volatility of the US dollar/Yen exchange rate and ten-year bond value exerts significant negative impact on companies’ stock returns. Originality/value This study adds to the international literature by documenting the impact of weather variables on socially responsible companies.

Project Commitment in the Context of Information Security

This research investigates the role of project commitment in the context of information systems security. In doing so, the research adopts a psychological point of view by exploring and discussing the concept of project commitment in setting information security goals. Information security can be viewed as the efficient control of uncertainty arising from malicious acts intended to exploit valuable assets, and in the context of information systems the valuable assets under consideration are data. Data were collected by using an interpretive approach through in-depth interviews and observation within a single case study in Greece. The contribution of this research to interpretive information-systems consists of the study of project commitment and goal theory in an information security-management context, and its grounding within an interpretive epistemology. Ultimately, this research promotes an interdisciplinary and interorganizational theory that fosters a dialogue transcending industry-specific contexts and explores different management practices that can improve security project commitment and management in its real life context.

Determinants of dissemination of environmental information: an empirical survey

The major objective of the present paper is to identify the factors that influence the dissemination of environmental information. In particular, analyst stock recommendation, country level risk, corporate value and environmental performance are surveyed as determinants of the environmental dissemination level. The survey was based on a sample of 92 multinational firms for the period 2009–2013, longer than that used in most past works. The methodology employed on our data is the panel data analysis with fixed effects. As proxies, for the dissemination level of environmental information, two different environmental disclosure indexes are used the Environmental Disclosure Score and Carbon Disclosure Leadership Index. According to our findings, the environmental performance in terms of Emission Reduction Initiatives and the country’s risk premium affects in a positive way the dissemination of environmental disclosures while the results regarding the stock analyst recommendation are controversial. Another important finding is that the firm’s value is validated as an insignificant factor for the dissemination level of environmental information. The aforementioned results provide the corporate managers with a tool to attract environmental friendly investors. The novelty on the present manuscript stands on the use of proxies for the environmental performance; namely the first one is based on outcome – objective while the second one refers to the corporate intention, elements that enrich the existing literature in the field of environmental behavior and dissemination of the environmental information of a firm.

Stock price behavior of the Greek oil sector: The case of Hellenic petroleum S.A. Greece

The present study investigated the underlying process of the stock price returns time series of the oil sector taking as an example the case of Hellenic Petroleum SA, Greece. The data used are daily for over a 13 – year period. Nonlinearities were detected with different univariate tests that surveyed the independence and nonlinear deterministic structure of the time series studied. The data employed for these tests are the closing prices of Hellenic Petroleum SA, Greece. All the tests confirmed the existence of nonlinearities in the time series studied. Furthermore, a Layapunov test was employed to detect the chaotic behaviour of the stock prices under review. As it is well known, the macroeconomic environment plays an important role in the formation of the stock prices. Thus, the Johansen cointegration technique was employed to survey the inflation as an explanatory variable of the stock prices behaviour. Confirming that the two variables are not cointegrated, the noisy Mackey – Glass model was estimated, which is an equation with errors that follow an F- GARCH (p, q) process. This model was used in order to become able to interpret the volatility clustering as an endogenous phenomenon.

Volatility Analysis of Blue Chips in a Small Market

In this paper we examine the pattern of stock returns and volatility at an individual share level in the Greek stock market, which is subject to various international and domestic influences. The introduction of foreign and domestic indices to analyze basic stock trends is common in the literature, however, in small markets, such as the Greek market, we should be particularly cautious, because there are some especially influential shares, which possibly lead the market. We have utilized two such shares, namely the shares of the Greek National Bank and of the Hellenic Telecommunications Organization. In this framework, the role of Individual Stock Futures has been examined. The empirical findings were based upon Granger causality tests and the GARCH models.