**A Study of the Relative Stock Market Performance of Companies Recognized for Supporting Gender Equality Policies and Practices**

**Leonardo Badea 1, Daniel ¸Stefan Armeanu 2, Dan Costin Nit,escu 3, Valentin Murgu 3, Iulian Panait 4,\* and Boris Kuzman <sup>5</sup>**


Received: 31 March 2020; Accepted: 22 April 2020; Published: 27 April 2020

**Abstract:** This paper explores the relative stock market performance of well-diversified gender equality equity indices in comparison with the overall market, taking both a cross-sectoral and a financial sector approach, for the period January 2017 to March 2020, with a sample of 11 indices and 834 daily observations, and using several different statistical and econometric methods. Our results show a high level of dynamic conditional correlation of daily returns among the gender equality and the overall indices. We also found comparable levels of conditional volatility (resulting from an Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH)model) and an elevated degree of synchronization of the volatility regimes (identified by a Markov switching model). Calibrating simple linear quantile regressions, we found that the value of the slope coefficients of the hypothetical linear relationship between the gender equality indices and the overall market indices are close to one, and relatively stable in relation with the value of the quantile. Using separate Vector Autoregressive (VAR) models for the cross-sectoral indices and for the financial sector indices, we found only very little evidence of causality and spill-over effects. Based on these results, we argue that the daily returns of the gender equality indices exhibited very similar characteristics with the daily returns of the overall market indices. In our interpretation, this could mean that, limited to our sample and methods of investigation, there were not significant differences in the investors' preferences towards the equity issued by public companies committed to supporting gender equality, in comparison with their approach towards listed equity in general. It could also mean that investors do not yet anticipate the significantly different financial performance of listed companies stemming from their approach towards gender equality.

**Keywords:** gender equality; Environmental, Social and Governance (ESG); sustainability; equity markets; volatility; correlation; Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH); Markov switching; Dynamic Conditional Correlation (DCC); quantile regression; Vector Autoregressive (VAR)
