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RESEARCH PAPER
Replication of the Warsaw Stock Exchange’s Broad Equity Market with the WIG-ESG Socially Responsible
Investment Index
1
Instytut Międzynarodowej Polityki Gospodarczej, Szkoła Główna Handlowa w Warszawie, Polska
Submission date: 2023-06-19
Final revision date: 2023-11-13
Acceptance date: 2024-01-07
Publication date: 2024-03-28
Corresponding author
Jacek Tomaszewski
Instytut Międzynarodowej Polityki Gospodarczej, Szkoła Główna Handlowa w Warszawie, Polska
Instytut Międzynarodowej Polityki Gospodarczej, Szkoła Główna Handlowa w Warszawie, Polska
GNPJE 2024;317(1):60-72
KEYWORDS
JEL CLASSIFICATION CODES
ABSTRACT
The aim of this study is to investigate the viability of using the Warsaw Stock
Exchange’s WIG-ESG socially responsible (ethical) investing index for building
a passive investment portfolio. To validate this hypothesis, various portfolio analysis
tools (standard deviation, the Sharpe ratio, tracking error, and the variance
ratio) were applied to test the relationship between the WIG-ESG index and the
traditional broad market index WIG. The results of the analysis revealed a strong
and statistically significant relationship between the two indices. These findings
indicate that the WIG-ESG index can be used as a benchmark for constructing
a passive investment portfolio, offering an alternative to traditional indices that
do not incorporate ESG (Environmental, Social, Governance) factors into their construction. The main practical implication of the study is the potential for constructing
real-life investment portfolios (ETF funds, structured products, etc.) that
can combine two approaches to portfolio construction: a passive approach and
one involving the inclusion of ESG factors during the portfolio selection process.
These two approaches are rapidly gaining popularity among investors.
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