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Identifying Asymmetries between Socially Responsible and Conventional Investments

Nicholas Apergis (), Vassilios Babalos, Christina Christou () and Rangan Gupta ()
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Christina Christou: University of Piraeus, Piraeus, Greece

No 201537, Working Papers from University of Pretoria, Department of Economics

Abstract: Socially responsible investments have been a popular investment vehicle over the last decade. Employing a standard cointegration methodology along with a novel time-varying quantile cointegration approach, we estimate whether the US Dow Jones Sustainability Index (DJSI) and its conventional counterpart are integrated. The results confirm the presence of an asymmetric long-run relationship between the two indices that is not picked-up by the standard methodology of cointegration. The analysis highlights that the cointegrating relationship is quantile-dependent. These findings place any long-run diversification benefits under scrutiny, while they contain significant implications for international market participants.

Keywords: Socially responsible investments; quantile cointegration; diversification benefits (search for similar items in EconPapers)
JEL-codes: C5 G1 Q5 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2015-06
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