Assessing the Dependence of Sustainability and Market Indices in India

Abstract

This chapter delves into a novel exploration of the non-linear interdependence between the conventional market index and selected sustainability indices in India. While socially responsible investing has gained traction globally, its impact on emerging markets like India is less explored. This study assesses the relationship between the market index- Sensex and sustainability indices - ESG, Carbonex, and Greenex through copula models. By scrutinizing the relationship between them, this study breaks new ground in understanding investor preferences and market dynamics. Results indicate a strong positive association between Sensex and sustainable indices, underscoring investors' growing inclination towards sustainable investments. Moreover, the copula models reveal various degrees of dependency, with Carbonex demonstrating the highest dependency on Sensex. The findings of the study show the popularity of sustainable indices in the Indian landscape and provide insights for investors, companies and policymakers.