Country

Index

Hurst Exponent

t-stat

p-value

Conclusion

Morocco

CASA ESG 10

0.61844

6.9340

0.0004

The index is not efficient. Signs of persistence in returns

Egypt

S & P/EGX ESG Index

0.63747

7.7944

0.0002

The index is not efficient. Signs of persistence in returns

Turkey

BIST Sust. Index

0.65980

7.1839

0.0004

The index is not efficient. Signs of persistence in returns

Qatar

QSE20 ESG

0.58911

2.8486

0.0292

The index is not efficient. Signs of persistence in returns

UAE

Hawhamah ESG UAE Index

0.62045

4.6633

0.0035

The index is not efficient. Signs of persistence in returns