Measuring Persistence in the US Equity Gender Diversity Index
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An analysis of the SPDR SSGA Gender Diversity Index ETF using fractional integration or I(d) techniques and daily data from 8 March 2016 to 8 January 2021, reveals that the series is highly persistent with an order of integration smaller than, though very close to 1. However, when estimating d recursively across subsamples, two peaks can be observed. The frst peak appears in the sample with 679 observations (ending at 26 December 2018) and the second one occurs in the sample with 974 observ ...