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

Janusz Brzeszczynski, Jerzy Gajdka, Piotr Pietraszewski and Tomasz Schabek

Finance Research Letters, 2022, vol. 49, issue C

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.

Keywords: Socially responsible investments (SRI); COVID-19 pandemic; Sustainability; Stock market; Risk; Asymmetric beta (search for similar items in EconPapers)
JEL-codes: C20 G11 G12 G15 M14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322002343

DOI: 10.1016/j.frl.2022.102986

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