The power of ethical investment in the context of political uncertainty
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Título
The power of ethical investment in the context of political uncertaintyFecha de publicación
2019-10-31Editor
Taylor & FrancisCita bibliográfica
MORALES, Lucía; SOLER-DOMÍNGUEZ, Amparo; HANLY, James. The power of ethical investment in the context of political uncertainty. Journal of Applied Economics, 2019, 22.1: 554-580.Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://www.tandfonline.com/doi/full/10.1080/15140326.2019.1683264Versión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
In this paper we analyse a set of socially responsible investment
(SRI) indices against their conventional counterparts in the US context. Using a data set that spans the Obama and Trump administrations, we aim to ... [+]
In this paper we analyse a set of socially responsible investment
(SRI) indices against their conventional counterparts in the US context. Using a data set that spans the Obama and Trump administrations, we aim to identify whether performance and volatility
patterns differ when markets are exposed to political uncertainty
and the Global Financial Crisis (GFC). The findings suggest that SRI
indices underperform conventional indices, and that the S&P 500
has a significant impact on their behaviour. The CBOE’s Volatility
Index (VIX), the US Equity Related Economic Uncertainty Index
(EEUi) and the impact of the economic policy uncertainty index
(EPUi) are used to consider market volatility and political uncertainty, with VIX emerging as the best indicator to capture market
uncertainty. The study signals a positive and significant impact on
SRI indices during the first hundred days of the Obama administration with a lack of significant findings for the Trump administration
for the period of study. The results for implied volatility reveal
similar patterns across all indices. [-]
Derechos de acceso
© 2019 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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