Academic journal article Economics & Sociology

Corporate Social Responsibility at the Global Level: An Investigation of Performances and Integration of Socially Responsible Investments

Academic journal article Economics & Sociology

Corporate Social Responsibility at the Global Level: An Investigation of Performances and Integration of Socially Responsible Investments

Article excerpt

ABSTRACT. Our paper analyses the performance of socially responsible investments (SRI) as evidenced by a number of global and regional indices. We investigate the degree of price co-movements among global SRI markets by using vector-autoregressive models, Granger-causality and innovation accounting techniques, in order to detect their interdependence in terms of level and structure. The results of our research indicate that SRI markets, both at national and regional level, are interdependent, although less than expected given the crisis period under analysis. However, since these markets are somehow segmented, managers of SRI funds may still benefit from the virtues of international diversification when deciding to extend their holdings of SRI assets abroad. At the same time, since these markets are integrated to some extent, the perils of shocks propagating from one country to the other cannot be ignored, which requires a consistent policy in the area of SRI markets regulation, so that contagion risks may be better mitigated.

JEL Classification: G01, G11, G30, M14

Keywords: corporate social responsibility, socially responsible investing, portfolio performance, capital market integration, international diversification

(ProQuest: ... denotes formula omitted.)


Corporate social responsibility (CSR) may be considered nowadays an issue that is fully integrated in companies and organizations' operational management practices, and the positive link between companies' social involvement and financial performance is evidenced by the literature. The most important directions that observe the positive effects of companies' involvement in various activities, projects, programs or strategies in the area of CSR and that have the potential of supporting their competitive advantages at the global level are reputation risk management, conflict management, access to capital and investors' relations, learning and innovation, competitiveness and market positioning, and operational efficiency. Annually, various surveys conducted at national or global level (for example: State of Corporate Social Responsibility Review conducted by the Australian Centre for Corporate Social Responsibility, Corporate Social Responsibility Survey of Hang Seng Index Constituent Companies, The Corporate Social Responsibility Index published by Boston College and Reputation Institute etc.) investigate the perception on companies' reputation and the propensity towards being employed by such companies. More recently, they gave way to a new investment strategy that acknowledges companies' CSR activities and integrates them in stock market investments: socially responsible investing (SRI).

Socially responsible investments have grown considerably in recent years, as evidenced by statistics on assets under management by various investment funds around the world. According to the 2010 Report on Socially Responsible Investing Trends published by the Social Investment Forum in the United States, the value of total assets under management that used at least one of the sustainable and responsible investing strategies in 2010 was 3.07 trillion USD (or 2.31 trillion Euro) , on a growing trend with a rate of more than 13% since 2007. Moreover, the report evidenced that approximately one out of eight dollars under professional management in the United States is somehow involved in such type of investing. The Canadian Socially Responsible Investment Review 2010 conducted by the Canadian Social Investment Organisation reported that total Canadian assets invested according to SRI guidelines had a value of 530.9 billion Canadian dollars (or 432.64 billion Euro) as of June 2010, with a share of 19.1% of the total assets under management in Canada. The Responsible Investment Annual Report 2011 published by Responsible Investment Association Australasia also evidenced increased activity and value of assets under management for investments that comply with SRI guidelines in Australia and New Zealand: between 2010 and 2011, core responsible investment rose by 8%, from 18. …

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