TY - JOUR
T1 - How Risky Are the Socially Responsible Investment (SRI) Stocks? Evidence from the Central and Eastern European (CEE) Companies
AU - Brzeszczyński, Janusz
AU - Gajdka, Jerzy
AU - Schabek, Tomasz
N1 - Funding information: This work was supported by the research funding from the National Science Center / Narodowe Centrum Nauki (NCN) in Poland (project number: 2019/33/B/HS4/01095).
PY - 2021/10/1
Y1 - 2021/10/1
N2 - We evaluate the risk of the socially responsible investment (SRI) stocks from the Central and Eastern European (CEE) markets. Our analysis covers the data from the first and oldest national sustainability stock market index introduced in the CEE countries, i.e. the RESPECT index listed at the Warsaw Stock Exchange (WSE) in Poland, which was launched in 2009. The RESPECT index stocks are compared with other CEE stocks belonging to the CECE SRI index from the broader CEE region listed at the Vienna Stock Exchange (VSE).
The beta coefficients and other risk measures evidence that the SRI stocks in Poland, which were constituents of the RESPECT index, have been characterised by relatively lower risk than the broader market and by better risk-adjusted performance. They also exhibited an asymmetric risk behavior patterns. In comparison, the CECE SRI index stocks were also characterised by lower risk than the market, asymmetric risk effects and superior risk-adjusted performance.
Overall, we conclude that the investigated SRI companies from the CEE countries are less risky relative to the broader market, but their behavior exhibits clearly asymmetric risk patterns.
AB - We evaluate the risk of the socially responsible investment (SRI) stocks from the Central and Eastern European (CEE) markets. Our analysis covers the data from the first and oldest national sustainability stock market index introduced in the CEE countries, i.e. the RESPECT index listed at the Warsaw Stock Exchange (WSE) in Poland, which was launched in 2009. The RESPECT index stocks are compared with other CEE stocks belonging to the CECE SRI index from the broader CEE region listed at the Vienna Stock Exchange (VSE).
The beta coefficients and other risk measures evidence that the SRI stocks in Poland, which were constituents of the RESPECT index, have been characterised by relatively lower risk than the broader market and by better risk-adjusted performance. They also exhibited an asymmetric risk behavior patterns. In comparison, the CECE SRI index stocks were also characterised by lower risk than the market, asymmetric risk effects and superior risk-adjusted performance.
Overall, we conclude that the investigated SRI companies from the CEE countries are less risky relative to the broader market, but their behavior exhibits clearly asymmetric risk patterns.
KW - Asymmetric risk behavior
KW - CEE markets
KW - Socially responsible investment (SRI)
KW - Stock market risk
KW - Sustainability
UR - http://www.scopus.com/inward/record.url?scp=85107077975&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2021.101939
DO - 10.1016/j.frl.2021.101939
M3 - Article
SN - 1544-6123
VL - 42
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 101939
ER -