TY - JOUR
T1 - Has the Risk of Socially Responsible Investments (SRI) Companies Stocks Changed in the COVID-19 Period? International Evidence
AU - Brzeszczyński, Janusz
AU - Gajdka, Jerzy
AU - Pietraszewski, Piotr
AU - Schabek, Tomasz
N1 - Funding information: This work was supported by the research funding from the National Science Centre / Narodowe Centrum Nauki (NCN) in Poland (project number: 2019/33/B/HS4/01095).
PY - 2022/10/1
Y1 - 2022/10/1
N2 - In this study, we investigate changes in risk of socially responsible investments (SRI) companies in the periods before and during the COVID-19 pandemic relying on a broad dataset covering SRI indices from 35 markets analyzed between 2016 and 2021. Our results provide evidence that the systematic risk of the SRI firms, measured by the beta coefficient, increased in most countries around the world during the COVID-19 period. However, some markets in our sample show remarkable resilience and stability in terms of the changes in their risk patterns. In particular, the systematic risk of SRI companies from the markets in East Asia decreased during the COVID-19 pandemic, which contrasts with substantial increases in the systematic risk of the SRI firms from the SRI indices in all other regions around the world.
AB - In this study, we investigate changes in risk of socially responsible investments (SRI) companies in the periods before and during the COVID-19 pandemic relying on a broad dataset covering SRI indices from 35 markets analyzed between 2016 and 2021. Our results provide evidence that the systematic risk of the SRI firms, measured by the beta coefficient, increased in most countries around the world during the COVID-19 period. However, some markets in our sample show remarkable resilience and stability in terms of the changes in their risk patterns. In particular, the systematic risk of SRI companies from the markets in East Asia decreased during the COVID-19 pandemic, which contrasts with substantial increases in the systematic risk of the SRI firms from the SRI indices in all other regions around the world.
KW - Asymmetric beta
KW - COVID-19 pandemic
KW - Risk
KW - Socially responsible investments (SRI)
KW - Stock market
KW - Sustainability
UR - https://www.scopus.com/pages/publications/85137617890
U2 - 10.1016/j.frl.2022.102986
DO - 10.1016/j.frl.2022.102986
M3 - Article
SN - 1544-6123
VL - 49
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 102986
ER -