Has the risk of socially responsible investments (SRI) companies stocks changed in the COVID-19 period? International evidence.

Brzeszczyński, Janusz; Gajdka, Jerzy; Pietraszewski, Piotr; Schabek, Tomasz

Abstract

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.

Citation

BRZESZCZYŃSKI, J., GAJDKA, J., PIETRASZEWSKI, P. and SCHABEK, T. 2022. Has the risk of socially responsible investments (SRI) companies stocks changed in the COVID-19 period? International evidence. Finance research letters [online], 49, article 102986. Available from: https://doi.org/10.1016/j.frl.2022.102986

• Journal Article Type: Article
• Acceptance Date: May 16, 2022
• Online Publication Date: May 19, 2022
• Publication Date: Oct 31, 2022
• Deposit Date: Jan 16, 2023
• Publicly Available Date: Jan 16, 2023
• Journal: Finance Research Letters
• Print ISSN: 1544-6123
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 49
• Article Number: 102986
• DOI: https://doi.org/10.1016/j.frl.2022.102986
• Keywords: Socially responsible investments (SRI); COVID-19 pandemic; Sustainability; Stock marke0t; Risk; Asymmetric beta
• Public URL: https://rgu-repository.worktribe.com/output/1848988