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.