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Article
Publication date: 13 June 2020

Vanita Tripathi and Amanpreet Kaur

The study aims to contribute towards the sustainable development of financial systems, by testing the performance of socially responsible investing alternatives in emerging BRICS…

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Abstract

Purpose

The study aims to contribute towards the sustainable development of financial systems, by testing the performance of socially responsible investing alternatives in emerging BRICS countries. The study outcomes give us an insight into viability of responsible financial decisions in contrast with the conventional style of investing.

Design/methodology/approach

The authors examine the performance of socially responsible indices of BRICS nations vis-à-vis respective conventional market indices using various risk-adjusted measures and conditional volatility measures. We further segregate the 12-year study period to crisis and non-crisis period particular to the respective country, as well as a common global financial crisis period to analyze the impact of market conditions in BRICS nations and observe the performance using dummy regression analysis. Conditional volatility of the stochastic index series is measured using ARCH-GARCH analysis. Fama Decomposition Model helps rank the index performance through the sub-periods.

Findings

Fama Decomposition Model helps us observe that while Brazil secures a position in top rankers consistently, it is India that ranks top during crisis period. With evidence of outperformance in terms of risk-return by SRI indices of BRICS countries through the overall period as well as through different market conditions, our study contributes to the positive literature on socially responsible investing.

Research limitations/implications

The study explores performance of SRI in BRICS and finds evidence of the sustainable investment to be non-penalizing to the investor, even as the performance trend remain distinct in the countries with same level of development. It has implications for the investors and asset managers to include responsible stocks, while for the companies and regulatory bodies to unite for better reporting and disclosures. Given the broad implications, future research is required to link the impact of various cultural, legislative and demographic factors on the level and performance of the socially responsible investment in BRICS nations.

Practical implications

The current study evaluating and comparing performances of the socially responsible investments in BRICS nations puts forth following implications for the different sectors of the society, especially in emerging countries: (1) BRICS organization – The association of five economic giants, having significant influence over global as well as regional affairs, can aim to orient the countries' efforts towards collective sustainable development by designing uniform SRI framework. (2) Investors – In the globalization era, the investor can gain from ethical cross border investments to diversification and country benefits. (3) Companies and regulatory bodies – Only voluntary or mandatory unified efforts, to provide accurate and consistent disclosures, can upscale the mediocre growth trends of sustainable investing in emerging economies. (4) Asset Managers – Call of greater role in educating, warding off inhibitions related to RI.

Originality/value

This is to certify that the research paper submitted by us is an outcome of our independent and original work. We have duly acknowledged all the sources from which the ideas and extracts have been taken. The project is free from any plagiarism and has not been submitted elsewhere for publication.

Details

Journal of Advances in Management Research, vol. 17 no. 4
Type: Research Article
ISSN: 0972-7981

Keywords

Book part
Publication date: 7 July 2014

Stephanie Giamporcaro and Suzette Viviers

The anti-apartheid movement represented a cornerstone for socially responsible investors in the 1970s and 1980s driven by the willingness to promote lasting social change. What…

Abstract

Purpose

The anti-apartheid movement represented a cornerstone for socially responsible investors in the 1970s and 1980s driven by the willingness to promote lasting social change. What happened next in terms of socially responsible investing (SRI) in the free South Africa? This chapter explores the local development of SRI in South Africa post-apartheid.

Design/methodology/approach

An in-depth literature review combined with a content analysis 73 SRI funds’ investment mandates were undertaken to investigate the local development of SRI in South Africa over the period 1992–2012.

Findings

Mechanisms of local divergence and global convergence have both shaped the phenomenon of SRI in South Africa. SRI in South Africa represents a melting-pot of societal values anchored in a local developmental and transformative political vision, some local and global Islamic religious values, and worldwide SRI and CSR homogenisation trends.

Originality/value

This chapter is the first attempt to outline the mechanisms of local divergence and global convergence that have moulded SRI in a democratic South Africa.

Details

Socially Responsible Investment in the 21st Century: Does it Make a Difference for Society?
Type: Book
ISBN: 978-1-78350-467-1

Keywords

Article
Publication date: 9 November 2015

Joan Junkus and Thomas D. Berry

The purpose of this paper is to provide a review of the most recent work in major finance journals on socially responsible investment (SRI). While SRI involves individual…

4641

Abstract

Purpose

The purpose of this paper is to provide a review of the most recent work in major finance journals on socially responsible investment (SRI). While SRI involves individual investors, firms, and investment managers, the authors concentrate primarily on the investment view.

Design/methodology/approach

The authors briefly review the development of socially responsible investing (SRI) and the theoretical issues related to SRI and investment choice. This is followed by a review of the empirical results concerning firm value. The question of whether SR mutual funds and SR indexes differ in performance or other characteristics from their conventional counterparts is discussed next, and lastly the authors present suggestions for future research directions.

Findings

Despite the large and extensive amount of empirical research published on SRI in recent years, the authors find no definitive answer to the question of SR actions for either the firm or the investor. For firms, evidence linking corporate social responsibility (CSR) rankings with higher value is mixed, and depends on the type of CSR behavior studied as well as the measures of firm performance used. The performance of SR mutual funds and indexes generally are not significantly different from conventional funds or indexes, but again these results are also highly dependent on model specification, time period, benchmark, and other characteristics of the study.

Practical implications

The value of SR investing has not been definitely proved. This means, however, that there is room for further on this important topic.

Originality/value

This paper synthesizes and presents the most recent research on SRI from a wide variety of refereed sources.

Details

Managerial Finance, vol. 41 no. 11
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 17 December 2021

Jennifer Brodmann, Phuvadon Wuthisatian and Rama K. Malladi

The purpose of the paper is to analyze socially responsible investment (SRI) asset performance compared to traditional assets using the MSCI KLD 400 Index. The authors examine the…

Abstract

Purpose

The purpose of the paper is to analyze socially responsible investment (SRI) asset performance compared to traditional assets using the MSCI KLD 400 Index. The authors examine the required return that investors expect to maintain their holdings in SRI stock and whether SRI stocks can be used for diversification during financial crises.

Design/methodology/approach

The authors examine SRI stocks' liquidity from the MSCI KLD 400 index, encompassing all environmental, social and governance (ESG) factor investments over 25 years, from 1990 until 2019. The authors test whether sorting portfolios based on their excess return, liquidity and volatility can explain the difference in SRI and non-SRI stocks' returns and then examine the global financial crisis' (GFC) impact on excess returns for SRI and non-SRI assets.

Findings

The authors find a significant difference in liquidity and volatility between SRI and non-SRI stocks and that SRI stocks perform better during financial crises. The results suggest a possible general investor preference to invest in non-SRI stocks despite our findings that SRI stocks tend to withstand financial risk better than non-SRI stocks. The authors find that long-term investors may be willing to forego short-term gains to reduce their overall risk exposure during crises.

Originality/value

SRI is gaining international popularity as an alternative investment that includes ratings based on ESG factors. Previous studies provide mixed results of whether SRI stocks outperform conventional stocks. In addition, there is limited research examining the liquidity and volatility of SRI assets. The authors compare the differences between SRI and non-SRI stocks in terms of excess return, volatility and liquidity and compare the liquidity of SRI and non-SRI stocks during the financial crisis.

Details

Review of Behavioral Finance, vol. 15 no. 2
Type: Research Article
ISSN: 1940-5979

Keywords

Article
Publication date: 26 May 2023

Neha Seth and Deepti Singh

This paper aims to provide a bibliometric review and visualisation analysis of the literature on Sustainable Stock Indices (SSI) between January 2001 and March 2022. The purpose…

Abstract

Purpose

This paper aims to provide a bibliometric review and visualisation analysis of the literature on Sustainable Stock Indices (SSI) between January 2001 and March 2022. The purpose of performing this bibliometric analysis is to empirically report the trend, intellectual structure, knowledge development directions and identify prospective research topics in the area of SSI.

Design/methodology/approach

A total of 222 publications were selected after evaluating, identifying and synthesising the extensive publications using the Preferred Reporting Items for the Systematic Reviews and Meta-Analyses (PRISMA) approach. The articles were extracted from the databases of SCOPUS, Web of Science and Google Scholar. The study uses VOSviewer and RStudio software to answer four research questions.

Findings

The results signify that there has been a considerable increase in the level of research considering SSI. Further, the study shows that SSI is among the top five trending keywords in the research related to finance and environment. Most papers considered as a sample for this study are based on Dow Jones Sustainable Indices. Noteworthy, very few economies are participating in this research domain, and the significant contribution is from the developed countries.

Practical implications

The present review paper may assist the researchers in identifying the trending research topics in this domain. It may serve as a roadmap for several further studies in the area.

Originality/value

This study is unique in terms of reviewing the literature based on SSI. Further, it provides a holistic view of the current trend, global position and research hotspots of SSI, which has important implications for future research.

Details

Qualitative Research in Financial Markets, vol. 16 no. 2
Type: Research Article
ISSN: 1755-4179

Keywords

Article
Publication date: 9 January 2020

Ibrahim Yasar Gok, Serhat Duranay and Hande Uzunoglu Unlu

This study aims to investigate the international portfolio diversification opportunities provided by Turkish sustainable firms to international socially responsible investors.

Abstract

Purpose

This study aims to investigate the international portfolio diversification opportunities provided by Turkish sustainable firms to international socially responsible investors.

Design/methodology/approach

The Borsa Istanbul Sustainability Index (XUSRD) and FTSE4Good index family daily data for the period of 11/04/2014-12/31/2017 is used and the DCC-GARCH model is applied to explore the dynamic correlation linkages.

Findings

The results indicate that co-movements between XUSRD and FTSE4Good indices are time-varying and generally display a low level. While the highest average conditional correlation value was observed between XUSRD and Developed 100 index, the lowest one was between XUSRD and FTSE4Good Japan index.

Research limitations/implications

Since XUSRD was launched on 11/04/2014, there is no available data before this date. Additionally, because the study includes indices from the USA to Japan, it is not possible to use high-frequency stock index data due to lack of overlapping time series.

Practical implications

This study contributes implications for investors of sustainability assets to improve their diversification. Especially, it is identified that the diversification opportunities provided by Turkish sustainable firms are largely possible for Japanese and Australian socially responsible investors. Additionally, this research has contributions for policymakers.

Originality/value

Although the conventional stock market indices are widely examined in terms of their time-variant relationship, there are only a few studies in the literature focusing on sustainability indices. Socially responsible investments (SRI) are emerging as a new trend, and these investments are also in need of international portfolio diversification. Therefore, this study is expected to fill a gap in the SRI literature.

Article
Publication date: 18 September 2017

Bidisha Chakrabarty, Sang Bong Lee and Nitish Singh

The purpose of this paper is to examine the performance of exchange traded funds (ETFs) that hold corporate social responsibility (CSR) stocks and compare their risk-return…

1251

Abstract

Purpose

The purpose of this paper is to examine the performance of exchange traded funds (ETFs) that hold corporate social responsibility (CSR) stocks and compare their risk-return characteristics with the market.

Design/methodology/approach

The authors use the Sharpe ratio and Jensen’s α from multivariate regressions to perform a multi-country study to examine how CSR-oriented ETFs perform against global, national, and regional market indexes. The authors examine paired groupings of each CSR-oriented ETF with its corresponding index after appropriate risk adjustments.

Findings

The authors find that CSR-oriented ETFs’ perform similar to their market indexes. Thus, individual investors can earn comparable returns while investing in CSR-oriented ETF, indicating that they can indeed do “good” while not missing out on returns. However, the authors also find that unlike the previously documented buffer effects that CSR-oriented firms enjoy, CSR-oriented ETFs do not outperform their market indexes during economic downturns. Thus, CSR-oriented ETFs are not safe havens for individual investors during times of economy-wide slumps.

Research limitations/implications

The main limitation of this study is its limited sample size. Because the authors use novel hand-collected data, the authors have 11 CSR-focused ETFs with their corresponding indexes.

Originality/value

To the authors’ knowledge, this is the first study that examines individual investor participation using CSR-oriented ETFs. The study is made possible by hand-collected data on CSR-related ETFs which identify in detail the composition of each of these ETFs, and the findings highlight how individual investors can promote CSR while also making sound investments.

Details

Management Decision, vol. 55 no. 8
Type: Research Article
ISSN: 0025-1747

Keywords

Article
Publication date: 2 January 2009

David Collison, George Cobb, David Power and Lorna Stevenson

The purpose of the paper is to critically evaluate membership of the FTSE4Good “socially responsible investmentindices (membership of which is based on ethical criteria), which…

3466

Abstract

Purpose

The purpose of the paper is to critically evaluate membership of the FTSE4Good “socially responsible investmentindices (membership of which is based on ethical criteria), which were launched in the UK in July 2001 as a means of increased accountability and change.

Design/methodology/approach

The paper adopts an interpretive and critical approach when examining the perceptions of company representatives. The empirical findings are based on a small number of interviews and a postal questionnaire. Some descriptive and inferential statistics are used to summarise and help interpret the questionnaire results.

Findings

Respondents indicated that inclusion in the indices had a significant effect on their firms' reputation, and on relationships with specific stakeholder groups. All interviewees emphasised that peer group pressure encouraged top management to maintain their membership of the indices. Questionnaire respondents indicated an even balance of views regarding tightening the admission criteria for the indices. The influence of FTSE4Good on corporate conduct was found to be limited and mainly confined to reporting activity, though policy and management systems were amongst other areas where some impacts were noted. A small proportion of respondents felt that membership of the indices had had some significant influences on their companies.

Originality/value

The investigation of the influence of a “mass market” ethical investment index on constituent companies is where the main originality of this paper lies. In particular the interviews with constituent firm representatives and the questionnaire results are novel for ascertaining perceptions about the impact of inclusion in the indices on constituent companies.

Details

Accounting, Auditing & Accountability Journal, vol. 22 no. 1
Type: Research Article
ISSN: 0951-3574

Keywords

Article
Publication date: 3 May 2022

Umaira Danish Dervi, Ashraf Khan, Irum Saba, M. Kabir Hassan and Andrea Paltrinieri

Green finance has shown the importance of being socially responsible and supporting the flow of financial instruments to develop environmentally sustainable and ethical business…

2052

Abstract

Purpose

Green finance has shown the importance of being socially responsible and supporting the flow of financial instruments to develop environmentally sustainable and ethical business models. The growing trends raised the need for a quantitative study to address scientific performance analysis and intellectual development. This paper aims to cater quantitative statistics, through a bibliometric review to understand the vital intellectual and influential constitution of green and socially responsible finance.

Design/methodology/approach

The authors apply trending and cutting-edge quali-quantitative approach of bibliometric citation analysis and review of 280 journal articles from the Web of Science database for the period of 1981–2021.

Findings

The results identify the leading academic authors, journals, institutions and countries with relation to green and socially responsible finance literature. We also discuss three research streams in this field: (1) overview of green finance, perception and investor behavior; (2) analysis of performance models and growth factors of green finance; (3) pricing mechanism of SRI. Finally, we identify the research gaps within existing green finance literature, proposing 30 research questions for the future agenda.

Research limitations/implications

The study confines on the Web of Science database, English published articles in known journals and reviews only. It relies on a reputable source and top scientific productions with the most direct link to green finance.

Originality/value

To the best of the authors knowledge, this paper is the first to discuss research streams in the literature of Green finance from a bibliometric aspect along with vast coverage of articles from reputed journals and databases till date. The results of this research along with future research questions will guide the researchers and academicians to further explore and stand on solid quantitative basis regarding the scientific development of Green finance.

Article
Publication date: 12 July 2021

Abbas Khan, Muhammad Yar Khan, Abdul Qayyum Khan, Majid Jamal Khan and Zia Ur Rahman

By testing the weak form of efficient market hypothesis (EMH) this study aims to forecast the short-term stock prices of the US Dow and Jones environmental socially responsible

Abstract

Purpose

By testing the weak form of efficient market hypothesis (EMH) this study aims to forecast the short-term stock prices of the US Dow and Jones environmental socially responsible index (SRI) and Shariah compliance index (SCI).

Design/methodology/approach

This study checks the validity of the weak form of EMH for both SCI and SRI prices by using different parametric and non-parametric tests, i.e. augmented Dickey-Fuller test, Philip-Perron test, runs test and variance ratio test. If the EMH is invalid, the research further forecasts short-term stock prices by applying autoregressive integrated moving average (ARIMA) model using daily price data from 2010 to 2018.

Findings

The research confirms that a weak form of EMH is not valid in the US SRI and SCI. The historical data can predict short-term future price movements by using technical ARIMA model.

Research limitations/implications

This study provides better guidance to risk-averse national and international investors to earn higher returns in the US SRI and SCI. This study can be extended to test the EMH of Islamic equity in the Middle East and North Africa region and other top Islamic indexes in the world.

Originality/value

This study is a new addition to the existing literature of equity investment and price forecasting by comparing and investigating the market efficiency of two interrelated US SRI and SCI.

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