Volatility of Socially Responsible Investments in Australia
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Author(s)
Bian, Sophia
Fan, John
Wong, Victor
Year published
2016
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Socially responsible investment (SRI) has become increasingly popular in recent years, as there is strong evidence showing SRI is less volatile and generates higher returns than traditional investments. This paper examines how volatility is spilled over from stocks and bond markets into the Australian SRI market. We employ TGARCH model from 1994 to 2015 and find that the Australian SRI market is positively influenced by domestic stock market. Furthermore, we find that the Australian SRI market is less correlated with other markets, hence, there is potential for diversification. Our findings indicate performance persistence ...
View more >Socially responsible investment (SRI) has become increasingly popular in recent years, as there is strong evidence showing SRI is less volatile and generates higher returns than traditional investments. This paper examines how volatility is spilled over from stocks and bond markets into the Australian SRI market. We employ TGARCH model from 1994 to 2015 and find that the Australian SRI market is positively influenced by domestic stock market. Furthermore, we find that the Australian SRI market is less correlated with other markets, hence, there is potential for diversification. Our findings indicate performance persistence and asymmetric effect in the volatilities of the Australian SRI market.
View less >
View more >Socially responsible investment (SRI) has become increasingly popular in recent years, as there is strong evidence showing SRI is less volatile and generates higher returns than traditional investments. This paper examines how volatility is spilled over from stocks and bond markets into the Australian SRI market. We employ TGARCH model from 1994 to 2015 and find that the Australian SRI market is positively influenced by domestic stock market. Furthermore, we find that the Australian SRI market is less correlated with other markets, hence, there is potential for diversification. Our findings indicate performance persistence and asymmetric effect in the volatilities of the Australian SRI market.
View less >
Journal Title
Global Review of Accounting and Finance
Volume
7
Issue
1
Copyright Statement
© 2016 World Business Institute. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
Subject
Banking, Finance and Investment not elsewhere classified
Accounting, Auditing and Accountability
Banking, Finance and Investment