The impact of global risk on the performance of socially responsible and conventional stock indices


  • Paweł Śliwiński Poznań University of Economics and Business
  • Maciej Łobza Poznań University of Economics and Business



socially responsible investments (SRI), socially responsible indices, investment performance, financial global risk, VIX


Research background: In the last decades social responsible investment has evolved into an important and influential investment class. What supports then the development of SRI? The neoclassical approach suggests that the attractiveness of investment should result from the risk-return relationship that is satisfying for the investor. However, the performance analysis of SRI vs. conventional investment, conducted in numerous research papers, often delivers contradictory conclusions. If financial factors could not explain the phenomenon of SRI, nonfinancial factors may have played a decisive role in the formation of modern SRI market.

Purpose of the article: The purpose of this paper is to analyze financial investment perfor-mance of socially responsible vs. respective conventional indices in the periods of high, low and unidentified global risk. Therefore, a following research hypothesis was verified: SR indices perform financially better in high-risk periods than in low-risk periods. This hypoth-esis is justified by the assumption that, when selecting SRI, investors go by a longer invest-ment horizon than they do when selecting other investments, not subject to such verification.

Methods: Among SR indices, we chose three to compare them with their conventional counterparts: DJSI US vs. DJITR (USA), DJSI Korea vs. KOSPI (South Korea) and Respect Index vs. WIG20TR (Poland). The VIX index was used as the global measure of risk aver-sion. To measure the relative performance of SR and conventional indices in different risk periods, we applied risk-adjusted performance measures, including RSD, Sharpe and Treynor ratios, traditional and asymmetrical CAPM.

Findings & Value added: The research shows that conventional and socially responsible indices do not differ statistically in terms of risk and return irrespective of global risk. Our research confirms that the rising, socially responsible, investment market cannot be analyzed only through the prism of simplified rational choices. Additionally, it should be analyzed in terms of moral philosophy and behavioral economics, including the psycho-social features of investors.


Download data is not yet available.


Amenc, N., & Le Sourd, V. (2008). Socially responsible investment performance in France. EDHEC Risk and Asset Management Research Centre, France. Re-trieved from (9.12.2016).
Amenc, N., & Le Sourd, V. (2010). The performance of socially responsible in-vestment and sustainable development in France: an update after the financial crisis. EDHEC Risk and Asset Management Research Centre, France. Retrieved from EDHEC-Risk_Position_Paper_SRI.pdf (9.12.2016).
Ananchotikul, N., & Zhang, M. L. (2014). Portfolio flows, global risk aversion and asset prices in emerging markets (No. 14-156). International Monetary Fund.
Aquinas, T. (1947). The summa theologica, 1-2, q. 19, a. 3c, tr. Fathers of the Eng-lish Dominican Province, Benziger Bros. edition, originally written in Latin c. 1265.
Barwick-Barrett, M. (2015). The performance of socially responsible investment portfolios (Doctoral dissertation, Cardiff University, UK). Retrieved from (9.12.2016).
Bauer, R., Otten, R., & Rad, A. T. (2006). Ethical investing in Australia: is there a financial penalty? Pacific-Basin Finance Journal, 14. doi:10.1016/j.pacfin. 2004.12.004.
Benedict, XVI, Pope (2009). Caritas in veritate, encyclical letter. Retrieved form .
Benson, K. L., Brailsford, T. J., & Humphrey, J. E. (2006). Do socially responsible fund managers really invest differently? Journal of Business Ethics, 65(4). doi:10.1007/s10551-006-0003-8.
CBOE (2014). The CBOE Volatility Index ? VIX, white paper. Retrieved from (9.12.2016).
Clark, E., Deshmukh, N., & Belghitar, Y. (2013). Does active ethical investing pay ? evidence from the UK. Paper presented at the 21st Annual Conference of the Multinational Finance Society. June 29 - July 2, 2014, Prague, Czech Republic.
Clark, E., Deshmukh, N., & Belghitar, Y. (2014). Does it pay to be ethical? Evi-dence from the FTSE4Good. Journal of Banking & Finance, 47 doi:10.1016/j. jbankfin.2014.06.027.
Dahrendorf, R. (1959). Homo Sociologicus. Ein Versuch zur Geschichte, Bedeutung und Kritik der Kategorie der sozialen Rolle. Kölner Zeitschrift für Soziologie und Sozialpsychologie, 10(2-3).
Earle, R. (2000). The emerging relationship between environmental performance and shareholder wealth. Assabet Group.
Eurosif (2014). European SRI Study 2014. Retrieved from wp-content/uploads/2014/09/Eurosif-SRI-Study-20142.pdf (9.12.2016).
Garz, H., Volk, C., & Gilles, M. (2002). More gain than pain ? SRI sustainability pays off. WestLB Panmure.
GSIA (2014). Global Sustainable Investment Review 2014. Retrieved from load.pdf (9.12.2016).
Hirshleifer, D. A. (2008). Psychological bias as a driver of financial regulation. European Financial Management, 14(5). doi:10.1111/j.1468-036x.2007. 00437.x.
Jensen, M. C. (1968). The performance of mutual funds in the period 1945-1964. Journal of Finance, 23. doi:10.1111/j.1540-6261.1968.tb00815.x.
John Paul, II, Pope (1991). Centesimus annus, encyclical letter. Retrieved form
Konar, S., & Cohen, M. A. (2001). Does the market value environmental perfor-mance? Review of Economics and Statistics, 83(2). doi: 10.1162/00346530 151143815.
Markowitz, H. (1959). Portfolio selection: efficient diversification of investment. Operational Review Quarterly, 10(4). doi:10.2307/3006625.
Neumann, J. V., & von, Morgenstern, O. (1947). Theory of games and economic behavior. Second edition. Princeton University Press.
Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48. doi:10.1016/j.jbankfin.2013.12.016.
Oikonomou, I., Brooks, C., & Pavelin, S. (2012). The impact of corporate social performance on financial risk and utility: a longitudinal analysis. Financial Management, 41(2). doi:10.1111/j.1755-053x.2012.01190.x.
Rocchia, B., & Bechet, L. (2011). Sustainable investment performance: investor's ethical dilemma. A comparative study of the US, UK and eurozone sustainable and conventional indices (Master's Thesis, Ume? School of Business, Sweden).
Shefrin, H., & Statman, M. (1993). Ethics, fairness, and efficiency in financial markets. Financial Analysts Journal, 49(6). doi:10.2469/faj.v49.n6.21.
Szyszka, A., & Ali, A. Z. (2006). Ethical factors in capital market: socially respon-sible versus unscrupulous investment. Argumenta Oeconomica, 1.
Śliwiński, P., & Łobza, M., (2017). Socially responsible indices and their financial performances ? introduction to research. International Journal of Management and Economics, 53 (forthcoming).
Van Liedekerke, L., De Moor, L., & Vanwalleghem, D. (2007). Risk-return of belgian SRI funds. Working paper, Centrum voor Economie en Management, Hogeschool, Universiteit Brussel. Retrieved from jaargangen/2001-2010/2007/TEM%202007-4/TEM-2007-4_06_Liedekerke.pdf (9.12.2016).
Weber, O., Mansfeld, M., & Schirrmann E. (2010). The financial performance of a SRI fund portfolio in times of turmoil. Workshops of the School of Account-ing and Finance, Waterloo, ON. Retrieved from http://accounting.uwaterloo. ca/seminars/09-10papers/04%20Weber.pdf (9.12.2016).




How to Cite

Śliwiński, P., & Łobza, M. (2017). The impact of global risk on the performance of socially responsible and conventional stock indices. Equilibrium. Quarterly Journal of Economics and Economic Policy, 12(4), 657–674.



Financial markets

Similar Articles

1 2 3 4 5 6 7 8 9 10 > >> 

You may also start an advanced similarity search for this article.