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Performance of stock price with changes in SRI governance index

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  • Joon Woo Park
  • Chang Won Lee

Abstract

We investigate the performance of the stock and volume effect associated with changes in the composition of the socially responsible investment (SRI) governance index during a period from 2003 to 2012. It turns out that, in the short term and long term, the announcement of inclusion in the SRI governance index has a positive effect in the stock market; however, exclusion from the SRI governance index has a negative effect. The price reversal phenomenon partly appears in the short term, and stock prices are increased again. The increase of stock prices in the short and long runs indicates a change in intrinsic value. The performance of stock prices in the short and long runs is positive (+); this is caused by the downward‐sloping demand curve (DSDC). The trading volume for event periods is a little more than the current volume in trading volume analysis. Therefore, using these results, we can adopt the price pressure hypothesis, information hypothesis, DSDC hypothesis and liquidity hypothesis.

Suggested Citation

  • Joon Woo Park & Chang Won Lee, 2018. "Performance of stock price with changes in SRI governance index," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 25(6), pages 1121-1129, November.
    • Handle: RePEc:wly:corsem:v:25:y:2018:i:6:p:1121-1129
    DOI: 10.1002/csr.1526
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    1. Shu, Pei-Gi & Chiang, Sue-Jane, 2020. "The impact of corporate governance on corporate social performance: Cases from listed firms in Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    2. Pochara Arayakarnkul & Pattanaporn Chatjuthamard & Suntharee Lhaopadchan & Sirimon Treepongkaruna, 2022. "Corporate governance, board connections and remuneration," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 29(4), pages 795-808, July.
    3. Meltem Kılıç & Hasan Emin Gurler & Ahmet Kaya & Chang Won Lee, 2022. "The Impact of Sustainability Performance on Financial Performance: Does Firm Size Matter? Evidence from Turkey and South Korea," Sustainability, MDPI, vol. 14(24), pages 1-19, December.
    4. Takashi Kanamura, 2023. "Clean energy and (E)SG investing from energy and environmental linkages," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 25(9), pages 9779-9819, September.

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