**2. Materials and Methods**

In this paper, our focus was to investigate whether investors' behavior in relation to listed companies that promote gender equality was different in comparison with their approach towards the general market. Given the availability of gender equality indices at a cross-sectoral level, and specifically for the financial sector, we included both directions into our research, separately. In our endeavor, we employed different methods and models, trying to distinguish whether the computed performance/risk measures are statistically different for the gender equality indices in comparison with the ones for the overall indices. Because both the overall indices and the gender equality indices are well diversified, we argue that our results can be generalized.

In short, our aim is to study the behavior of gender equality indices' returns in relation to the main market indices. Thus, we investigated the conditional volatility of the volatility regimes for the 11 indices using EGARCH and Markov regime switching models. We also computed conditional correlations among the relevant indices using a DCC MV GARCH model. Subsequently, we ran unrestricted and quantile regressions where the dependent variables were the gender equality indices and the explanatory variables were the general market indices. We also calibrated an unrestricted vector autoregressive (VAR) model and tested the eventual causal relation between its components.
