The power of ethical investment in the context of political uncertainty
Impact
Metadata
Show full item recordcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8648
comunitat-uji-handle3:10234/8649
comunitat-uji-handle4:
INVESTIGACIONMetadata
Title
The power of ethical investment in the context of political uncertaintyDate
2019-10-31Publisher
Taylor & FrancisBibliographic citation
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.Type
info:eu-repo/semantics/articlePublisher version
https://www.tandfonline.com/doi/full/10.1080/15140326.2019.1683264Version
info:eu-repo/semantics/publishedVersionSubject
Abstract
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. [-]
Rights
© 2019 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
This item appears in the folowing collection(s)
- COFIN_Articles [218]
The following license files are associated with this item: