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Does Relative Performance of Socially Responsible Investing Increase With Financial Risk? (Czy relatywna efektywnosc inwestowania odpowiedzialnego spolecznie wzrasta wraz z ryzykiem finansowym?)

Author

Listed:
  • Pawel Sliwinski

    (Associate Professor at Poznan University of Economics and Business)

  • Maciej Lobza

    (Poznan University of Economics and Business, Department of International Finance)

Abstract

The research paper positively verified the research hypothesis that the relative financial performance of investments in socially responsible indices against the performance of conventional indices may go up as the global financial risk, measured by the VIX index, increases. Socially Responsible Investing can be rational from the financial point of view. In addition to the ethical aspect, it may fulfill the function of protecting the investment portfolio in periods characterized by a high level of global risk. The hypothesis was tested using statistical research based on a comparative portfolio analysis of the geographically diverse SRI indices (RESPECT Index and DJSI) against the reference points which were the territorially relevant conventional stock indices (WIG20TR and DJITR).

Suggested Citation

  • Pawel Sliwinski & Maciej Lobza, 2019. "Does Relative Performance of Socially Responsible Investing Increase With Financial Risk? (Czy relatywna efektywnosc inwestowania odpowiedzialnego spolecznie wzrasta wraz z ryzykiem finansowym?)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 17(83), pages 212-228.
    • Handle: RePEc:sgm:pzwzuw:v:17:i:83:y:2019:p:212-228
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    More about this item

    Keywords

    Socially Responsible Investments; RESPECT Index; investment performance;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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