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Performance and Resilience of Socially Responsible Investing (SRI) and Conventional Funds during Different Shocks in 2016: Evidence from Japan

Graduate School of Economics, Ritsumeikan University, 1-1-1, Nojihigashi, Kusatsu, Shiga 525-8577, Japan
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Sustainability 2020, 12(2), 540; https://doi.org/10.3390/su12020540
Received: 25 October 2019 / Revised: 30 December 2019 / Accepted: 7 January 2020 / Published: 10 January 2020
(This article belongs to the Special Issue Sustainable Financial Markets)
Socially responsible investing (SRI) reap the benefits of a social consensus and is often presented as a solution to conciliate finance and sustainable development. This article investigates the performance and resilience of both socially responsible and conventional funds listed in the Japan Investment Trust Association (JITA) during two economic shocks (the U.S. election and Brexit) in 2016. To see the immediate reaction in fund performance around different shocks, an event study with market model using ordinary least square (OLS), an event study with market model using exponential generalized autoregressive heteroscedasticity (EGARCH) and an event study with Fama–French multi-factor model was used to avoid common features of return data such as non-normality, heteroscedasticity, and cross-correlation. This study found that the recent U.S. election had a significant positive effect whereas the Brexit referendum event had a significant negative shock on fund returns in Japan around the event window. It is evident from the empirical findings that, compared to conventional funds, socially responsible funds were more resilient to uncertainty around the recent U.S. presidential election whereas conventional funds were more sensitive during the Brexit referendum. The important implications of these findings are the optimal strategies of institutional or individual investors who have direct or indirect exposure to the fund volatility risk in Japan. View Full-Text
Keywords: SRI; performance; resilience; shocks; event study SRI; performance; resilience; shocks; event study
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MDPI and ACS Style

Arefeen, S.; Shimada, K. Performance and Resilience of Socially Responsible Investing (SRI) and Conventional Funds during Different Shocks in 2016: Evidence from Japan. Sustainability 2020, 12, 540. https://doi.org/10.3390/su12020540

AMA Style

Arefeen S, Shimada K. Performance and Resilience of Socially Responsible Investing (SRI) and Conventional Funds during Different Shocks in 2016: Evidence from Japan. Sustainability. 2020; 12(2):540. https://doi.org/10.3390/su12020540

Chicago/Turabian Style

Arefeen, Saiful, and Koji Shimada. 2020. "Performance and Resilience of Socially Responsible Investing (SRI) and Conventional Funds during Different Shocks in 2016: Evidence from Japan" Sustainability 12, no. 2: 540. https://doi.org/10.3390/su12020540

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