Measuring Persistence in the US Equity Gender Diversity Index

Area of Science:

• Quantitative Finance
• Financial Econometrics

Background:

• The SPDR SSGA Gender Diversity Index ETF tracks companies committed to gender diversity.
• Understanding the long-term memory and persistence of financial time series is crucial for risk management and investment strategies.

Purpose of the Study:

• To analyze the persistence of the SPDR SSGA Gender Diversity Index ETF using fractional integration techniques.
• To investigate the impact of the Covid-19 pandemic on the ETF's persistence.

Main Methods:

• Application of fractional integration (I(d)) techniques.
• Recursive estimation of the order of integration (d) across subsamples.
• Analysis of daily data from March 8, 2016, to January 8, 2021.

Main Results:

• The ETF series exhibits high persistence, with an order of integration close to 1.
• Recursive analysis revealed two peaks in the order of integration.
• A significant shift in persistence was observed around February 2020, coinciding with the onset of the Covid-19 pandemic, moving values above I(1).

Conclusions:

• The Covid-19 pandemic has demonstrably increased the persistence of the SPDR SSGA Gender Diversity Index ETF.
• The findings highlight the profound impact of macroeconomic events on the long-memory properties of equity index ETFs.