Are socially responsible investment markets worldwide integrated?

Eduardo Roca (Department of Accounting, Finance and Economics, Griffith Business School, Griffith University, Nathan, Australia)
Victor S.H. Wong (Department of Accounting, Finance and Economics, Griffith Business School, Griffith University, Nathan, Australia)
Gurudeo Anand Tularam (Faculty of Science, Engineering, Environment and Technology, Griffith University, Nathan, Australia)

Accounting Research Journal

ISSN: 1030-9616

Publication date: 23 November 2010



This study seeks to investigate the extent and structure of equity price interdependence among the socially responsible investment (SRI) markets of Australia, Canada, Japan, UK and USA over the period 1994‐2010.


The paper examines the degree of price co‐movement between SRI markets by using a vector autoregression analysis to identify the markets which have significant price co‐movements. Subsequently, a variance decomposition analysis is conducted among the markets which are significantly related in order to determine the extent of interaction between these markets and to identify the markets that are most and least influential.


The results show that the SRI markets are significantly interdependent and have become more so over the years. The USA and the UK are the markets most linked to others while Canada and Australia are the most influential. However, although the markets are significantly integrated, the level of integration is still at a low level.


This is the first known study to examine price linkages among international SRI markets. This knowledge is important for investors as the benefits from international diversification depends on the extent of linkages between different SRI markets. Such knowledge is also valuable for policymakers and regulators if they are to address international contagion risk between markets. The study found that SRI markets are significantly linked; however, the level of linkages is still at a relatively low level. This implies that there are still significant benefits to be derived by SRI investors through international diversification.



Roca, E., Wong, V. and Anand Tularam, G. (2010), "Are socially responsible investment markets worldwide integrated?", Accounting Research Journal, Vol. 23 No. 3, pp. 281-301.

Download as .RIS



Emerald Group Publishing Limited

Copyright © 2010, Emerald Group Publishing Limited

Please note you might not have access to this content

You may be able to access this content by login via Shibboleth, Open Athens or with your Emerald account.
If you would like to contact us about accessing this content, click the button and fill out the form.
To rent this content from Deepdyve, please click the button.