Is it worth being sustainable? Analysis and comparison of ESG and MSCI indices

This thesis focuses on ESG indices, about which still too little is known. The centre of attention of this study is the comparison of the performance of ESG and non-ESG indices and their interdependence. Especially this last analysis has been carried out through the implementation of an alternative method, known as the Wild Bootstrap, which allows to resample the residuals obtained from the cointegration analysis while maintaining the heteroschedasticity, previously verified through the GARCH model. Portfolio diversification will be considered in order to draw conclusions.