Is a portfolio of socially responsible firms profitable for investors?

Mobeen Ur Rehman and Xuan Vinh Vo

Journal of Sustainable Finance & Investment, 2020, vol. 10, issue 2, 191-212

Abstract: This paper investigates the presence of integration between six socially responsible stocks for the purpose of portfolio composition. Data for our study are based on the daily frequency and range from March 2016 to April 2019. Our results highlight that Gender Diversity funds exhibit a low correlation pattern with Low Carbon, Social Choice and USA ESG funds, whereas the Social Choice equity demonstrates a low correlation pattern with USA ESG and Social ETF funds across all decomposed scales. These results are also supported by the findings of non-linear Granger causality test across all investment horizons, i.e. from D1 to D8. Our results imply the inclusion of different asset classes together with socially responsible funds in a portfolio which may have useful implications for investors.Research Highlights We investigate the co-movement between socially responsible funds returns.We decompose the correlation between socially responsible funds using maximal overlap discrete wavelet transformation (MODWT).Decomposed correlations are further captured using the multi-scale rolling window wavelet coherenceNon-linear Granger causality is applied to infer implications for risk spillover under short-, medium- and long-run investment horizons.Results suggest that the inclusion of different asset classes together with socially responsible funds can yield optimal returns.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1080/20430795.2019.1700722 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:jsustf:v:10:y:2020:i:2:p:191-212

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/TSFI20

DOI: 10.1080/20430795.2019.1700722

Access Statistics for this article

Journal of Sustainable Finance & Investment is currently edited by Dr Matthew Haigh

More articles in Journal of Sustainable Finance & Investment from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().