ABSTRACT:
In the past few decades, many investors, at national and international level, focused on sustainable investments like SRI Mutual fund schemes, ESG Indices, etc. Hence the present study aims to investigate the price behavior of Indian Sustainable investment indices and their parent index. The study used Nifty 100 enhanced ESG and Nifty 100 ESG index as sustainable investment indices and Nifty 100 as the parent index. Daily prices of sample indices were collected for the period of April 2011 to March 2017 and the results of Descriptive statistics, Augmented Dickey-Fuller test and GARCH (1, 1) Model indicated that daily prices of sustainable investment indices’ returns were better than the parent index, during the study period. The results of GARCH (1, 1) model showed that volatility of Indian sustainable investment indices was lower than the parent indices, during the study period. Hence the investors can diversify the risk from different portfolios, through other types of sustainable financial assets.