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Sustainable investment in Korea does not catch a cold when the United States sneezes

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  • Wei Rong Ang

Abstract

We analyse the socially responsible investment (SRI) performance in Korea over the period January 2006 to April 2014. Our analysis shows that sustainable investment portfolio, represented by Dow Jones Sustainability Index Korea, is ranked higher than most of the conventional portfolios in Korea. We also find that there is no significant effect of the 2008 global financial crisis on the sustainable investment return and volatility and US policy uncertainty does not affect the return as well. Generally, we find relative stability during crisis and non-crisis periods. We may also conclude that by decoupling sustainable investment in Korea from US market system, "Korea does not catch a cold when the United States sneezes". In other words, SRI in Korea can be an alternative investment opportunity for investors to consider for international diversification purpose.

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  • Wei Rong Ang, 2015. "Sustainable investment in Korea does not catch a cold when the United States sneezes," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 5(1-2), pages 16-26, April.
    • Handle: RePEc:taf:jsustf:v:5:y:2015:i:1-2:p:16-26
    DOI: 10.1080/20430795.2015.1042737
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    3. Lean, Hooi Hooi & Ang, Wei Rong & Smyth, Russell, 2015. "Performance and performance persistence of socially responsible investment funds in Europe and North America," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 254-266.
    4. İbrahim Yaşar GÖK & Ozan ÖZDEMİR, 2017. "Borsa İstanbul Sürdürülebilirlik Endeksinin Performans Karakteristiği," Sosyoekonomi Journal, Sosyoekonomi Society, issue 25(34).
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    7. Pierdomenico Duttilo, 2024. "Modelling financial returns with mixtures of generalized normal distributions," Papers 2411.11847, arXiv.org.
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