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How risky are the socially responsible investment (SRI) stocks? Evidence from the Central and Eastern European (CEE) companies

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  • Brzeszczyński, Janusz
  • Gajdka, Jerzy
  • Schabek, Tomasz

Abstract

We evaluate the risk of the socially responsible investment (SRI) stocks from the Central and Eastern European (CEE) markets. Our analysis covers the data from the first and oldest national sustainability stock market index introduced in the CEE countries, i.e. the RESPECT index listed at the Warsaw Stock Exchange (WSE) in Poland, which was launched in 2009. The RESPECT index stocks are compared with other CEE stocks belonging to the CECE SRI index from the broader CEE region listed at the Vienna Stock Exchange (VSE).

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  • Brzeszczyński, Janusz & Gajdka, Jerzy & Schabek, Tomasz, 2021. "How risky are the socially responsible investment (SRI) stocks? Evidence from the Central and Eastern European (CEE) companies," Finance Research Letters, Elsevier, vol. 42(C).
    • Handle: RePEc:eee:finlet:v:42:y:2021:i:c:s1544612321000209
    DOI: 10.1016/j.frl.2021.101939
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    Cited by:

    1. Brzeszczyński, Janusz & Gajdka, Jerzy & Pietraszewski, Piotr & Schabek, Tomasz, 2022. "Has the risk of socially responsible investments (SRI) companies stocks changed in the COVID-19 period? International evidence," Finance Research Letters, Elsevier, vol. 49(C).
    2. Wang, Tianyu & Yang, Bo, 2023. "Corporate social responsibility, stakeholders’ governance and idiosyncratic risk," Finance Research Letters, Elsevier, vol. 57(C).

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    More about this item

    Keywords

    Sustainability; Stock market risk; Socially responsible investment (SRI); CEE markets; Asymmetric risk behavior;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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