Sustainable investment in Korea does not catch a cold when the United States sneezes

Ang, Wei Rong

doi:10.1080/20430795.2015.1042737

Cited by 24 publications

(13 citation statements)

References 20 publications

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“…In the 2010s, due to the growing availability of data on sustainability indices, another relevant body of research emerged. Some of these studies assessed a wide range of sustainability indices in developed regions (Belghitar et al, ; Lean & Nguyen, ), but others focused on developing countries (Ang, ; Cunha & Samanez, ; Ur Rehman et al, ). Their results corroborated previous findings; however, they used new performance measures and econometric models, such as the Omega ratio and variance derived from autoregressive conditional heteroskedasticity models.…”

Section: Sustainable Investmentmentioning

confidence: 99%

Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets

et al. 2019

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To contribute to overcoming global sustainability challenges, investors have been increasingly interested in making sustainable investments and incorporating environmental, social and governance (ESG) criteria into their portfolio selection decisions and managerial activities. However, these investors and other agents interested in sustainable investment need updated and robust information to support their decision making. We analyzed the performance of several Dow Jones Sustainability Indices (DJSIs) and compared them with their respective market benchmarks from 2013 to 2018. The indices comprise the following regions and countries: the world, the Asia-Pacific, Europe, emerging markets and the US. The analysis was conducted based on both classic and modern portfolio metrics. The results suggest that sustainable investment performance is still heterogeneous worldwide, but there is a promising opportunity for investors to obtain superior risk-adjusted returns in certain regions while incorporating sustainable investment practices. The findings are of utmost importance to financial market practitioners, business managers, academics and other stakeholders interested in promoting investments, corporate practices and scientific knowledge to achieve the Sustainable Development Goals (SDGs).

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Section: Sustainable Investmentmentioning

confidence: 99%

Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets

et al. 2019

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“…Kore piyasasına dair, Ang (2015), DJSI Kore ile kıyaslama endeksi olarak KOSPI 200 ve diğer bazı endekslerin performanslarını karşılaştırdığı çalışmasında, Ocak 2006 -Nisan 2014 dönemini araştırmıştır. Ham getiri itibariyle DJSI Kore'nin KOSPI 50, KOSPI 100 ve KOSPI 200'den daha yüksek bir getiri ve daha düşük bir standart sapmaya sahip olduğunu, KOSPI endeksinden ise daha yüksek bir getiriye ve aynı zamanda daha yüksek bir standart sapmaya sahip olduğunu belirlemiştir.…”

Section: Literatür Araştırmasıunclassified

“…Diğer taraftan, elde edilen bu bulgu, Ortas vd. (2012), Sudha (2015) ve Ang (2015)'ın bulgularından farklılaşmaktadır. Ortas vd.…”

Section: Araştırma Bulgularıunclassified

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The Performance Characteristic of Borsa Istanbul Sustainability Index

Gök

Özdemir

2017

Sosyoekonomi

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In this study, the performance of Borsa Istanbul Sustainability Index is compared with the benchmark index (BIST100 index) and the period between November 4, 2014 and December 30, 2016 is investigated. In the perspective of risk-adjusted return analysis, the Sharpe ratio for Sustainability Index is higher than BIST100 index. Also, Jensen alpha is positive although near zero and statistically not significant. Hence, the performance of Sustainability Index is not systematically different from BIST100 index. Beta value is above 1 and statistically significant, which means that the risk of Sustainability Index is significantly higher than BIST100 index. According to the results for the joint hypothesis in the context of risk and return, the financial output of Sustainability Index is significantly different from BIST100 index. EGARCH (1,1) estimation results for the conditional volatility modelling of indices demonstrate that for both indices the volatility persistence is high and negative shocks have greater influence on the volatility than positive shocks. These results indicate that leaving aside the investors's personal values, there is no financial incentives for investors in terms of financial output of Sustainability Index. However, the response of the investors can differentiate in time considering that the Sustainability Index is created recently, the socially responsible investment approach is relatively new and the awareness regarding the subject can be increased.

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“…Also in Brazil, Cunha and Samanez (2013) found that the Sustainability Index performed lower than the main index BOVESPA and sustainability did not provide investors with an advantage in terms of liquidity level, return and risk. Ang (2015) found that the performance of the sustainable investment portfolio represented by the Dow Jones Sustainability Index-Korea (DJSIK) is higher than most of the conventional portfolios in Korea. Sudha (2015) studied on the sustainability index (S&P ESG India Index) on the Indian Stock Exchange.…”

Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

Sustainability Indices in the Financial Markets, Performance and Intraday Volatility Analysis: The Case of Turkey

Levent

2019

isarder

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Purpose -In the financial markets, especially the institutional investors' interest in funds and portfolios composed of sustainable companies accelerated the formation of sustainability indices. In this context, this study aims to examine the sustainability indices in financial markets and compare the performance of Borsa İstanbul Sustainability Index (XUSRD) with benchmark indices. In this study, unlike other studies in the literature, not only return performance and risk, but also intraday volatility were analyzed.Design/methodology/approach -The research period is between November 4, 2014 and October 31, 2018. The performance of the XUSRD was compared with market indices (XU100, XUTUM and XTUMY) and the Corporate Governance Index (XKURY). Average daily return of indices were used for return performance. Risk factor was analyzed on models established according to CAPM. Intraday volatility was calculated following to the method proposed by Parkinson (1980) and adapted by Corrado and Truong (2007).Findings -Research findings show that average daily return of XUSRD index is not different from market indices and XKURY index. However, when intraday volatility is examined, it was found that XUSRD was more volatile than the market indices XUTUM and XTUMY. In the three regression models established according to CAPM, Jensen α values were not significant, however, β values of XUSRD were found to be higher than 1 and statistically significant.

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Sustainable investment in Korea does not catch a cold when the United States sneezes

Cited by 24 publications

References 20 publications

Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets

Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets

The Performance Characteristic of Borsa Istanbul Sustainability Index

Sustainability Indices in the Financial Markets, Performance and Intraday Volatility Analysis: The Case of Turkey

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