Corporate Social Responsibility indices for shares listed on the Warsaw and Moscow stock exchanges: design limitations of information value for socially responsible investors

Robert Huterski, Evgeniya Kaz



Motivation: Investors often do not have the opportunity to assess how much a company is responsible for its relationships with employees, the environment, and consumers. This is not due to the fact that there are no socially responsible companies in Russia and Poland, but it is connected with low informational transparency about the activities of companies and low awareness of socially responsible investment. Well-designed CSR/ESG indexes can over time increase interest in socially responsible investing in stock exchanges and have a positive impact on more pro-social and pro-environmental behaviour of companies.

Aim: The aim of the article is to evaluate the construction of the CSR/ESG indices of the Warsaw and Moscow stock exchanges from the point of view of their information value for socially responsible investors with particular consideration given to coefficients of correlation with main indices and to coefficients of variation.

Results: The RESPECT, MRRT and MRSV indices constructions are dominated by the criteria of company selection like in the main indices and they do not give sufficient recognition to the achievements of the companies in the field of CSR. Building rankings that clearly differentiate companies in terms of the degree of their achievement of objectives of CSR is undoubtedly influenced by subjectivism in the selection of evaluated features and their importance. However, copying the set of companies from elementary indices to CSR ones seems unsuitable as it leads to very strong correlations between those indices, which makes them unattractive for investors when compared with the main ones.


socially responsible investment; stock indices; CSR; ESG

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