Corporate Social Responsibility & Market Volatility: Relationship and Trading Opportunities

Vasiliki Basdekidou () and Artemis A. Styliadou

International Business Research, 2017, vol. 10, issue 5, 1-12

Abstract: This article examines the relationship between corporate social responsibility performance (CSR.P) and market trading volatility (MTV) provoking by the release of the non-farm employment payment-reports (NFP) the first Friday each month in the USA. It also discusses the trading opportunities involved in such as volatile environments. Actually, we consider the interaction between the social performance (for environment, employment and community activities) and the financial and trading performance than would be the case for an accumulated functionality in NFP releases. In general, social performance returns are negatively related to trading returns; so, the relatively poor financial and market trading reward (profit), offered by socially responsible ethical ETFs trading the NFP reports, is in accordance to their good social performance regarding employment and environmental aspects. This could be changed if these ethical ETFs incorporate into their arsenal of trading tools a number of CSR.mtv functions (utilities) discussed in this article. Impressively, we find also that considerable bizarre returns are obtained by funds, holding a portfolio of socially least unethical ETFs, involved in short-term or intraday speculations. In this domain, the complex relationship between social, financial and market trading performance, during the NFP “psychological time”, offers great trading opportunities.

Keywords: corporate social responsibility; ethical investing; non-farm employment report; market volatility (search for similar items in EconPapers)
JEL-codes: G10 G14 G18 M14 M20 (search for similar items in EconPapers)
Date: 2017
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