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Performance of socially responsible firms during the COVID-19 crisis and trading behavior by investor type: Evidence from the Korean stock market

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  • Lee, Sangki
  • Lee, Dongyoup
  • Hong, Chunghun
  • Park, Myung-Ho

Abstract

The COVID-19 pandemic in Korea provides grounds for understanding the effect of corporate social responsibility (CSR) on the stock returns and trading behavior of investors, particularly when most businesses have fallen on hard times. This study empirically finds that CSR reputations are associated with higher returns and lower volatilities by comparing the two portfolios which are composed of CSR and non-CSR firms, respectively. We also discover that public pension funds and other institutional investors have liquidated non-CSR stocks more aggressively than CSR stocks. This indicates that institutional investors consider CSR to transform their stock portfolios into less risky ones.

Suggested Citation

  • Lee, Sangki & Lee, Dongyoup & Hong, Chunghun & Park, Myung-Ho, 2022. "Performance of socially responsible firms during the COVID-19 crisis and trading behavior by investor type: Evidence from the Korean stock market," Finance Research Letters, Elsevier, vol. 45(C).
    • Handle: RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321005900
    DOI: 10.1016/j.frl.2021.102660
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    Cited by:

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    2. Fariha Jahan & Jungmu Kim, 2023. "Does the Shield Effect of CSR Work in Crises? Evidence in Korea," Sustainability, MDPI, vol. 15(11), pages 1-18, June.
    3. Lin, Xin-Yi & Liu, Jing-Yue & Zhang, Yue-Jun, 2024. "Does corporate social responsibility affect stock liquidity? Evidence from China," Finance Research Letters, Elsevier, vol. 60(C).
    4. Zengfu Li & Liuhua Feng & Zheng Pan & Hafiz M. Sohail, 2022. "ESG performance and stock prices: evidence from the COVID-19 outbreak in China," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-10, December.
    5. Ilić Miloš & Lepojević Vinko & Ivanović-Đukić Maja & Ljubenović Marko, 2023. "The Impact of the Covid-19 Pandemic on the Compensation of Top Managers of the CSR Organizations in the Field of Tourism and Hospitality in EU," Economic Themes, Sciendo, vol. 61(3), pages 325-341, September.
    6. Serge Darolles & Gaëlle Le Fol & Yuyi He, 2023. "Who can better push firms to go "green"? A look at ESG effects on stock returns," Post-Print hal-04462749, HAL.

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    More about this item

    Keywords

    Corporate social responsibility; COVID-19; Dow jones sustainability index; Investor type;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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