Research Handbook of Investing in the Triple Bottom Line
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Research Handbook of Investing in the Triple Bottom Line

Finance, Society and the Environment

Edited by Sabri Boubaker, Douglas Cumming and Duc K. Nguyen

The triple bottom line is an accounting framework with social, environmental and financial factors. This Handbook examines the nexus between these areas by scrutinising aspects of socially responsible investment, finance and sustainable development, corporate socially responsible banking firms, the stock returns of sustainable firms, green bonds and sustainable financial instruments.
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chapter 18: The performance, volatility, downside risk and persistence of socially responsible investments in Korea and the impact of the Korean Green New Deal

Wei Rong Ang and Olaf Weber

Abstract

In this chapter we analyze the performance of a Korean SRI index, the Dow Jones Sustainability Korea Index (DJSIK), with regard to its financial performance compared to conventional indexes over a span of ten years using daily returns from January 2006 to December 2015. These years include the period of the implementation of Korea’s Green New Deal that was initiated in 2009. Our analysis suggests that DJSIK performed equally to the market benchmark. Generally, the performance and persistence of the SRI index was relatively stable and no different from most of the conventional Korean portfoliosWe found, however that the Korean Green New Deal has a positive impact on the performance of socially responsible investments (SRIs) in Korea. Based on the assessment of downside risks, we conclude that the DJSIK has a lower sensitivity with regard to market returns during bearish conditions. Furthermore, our results suggest that neither negative nor positive shocks have stronger impacts on the volatility of the DJSIK than on conventional indexes.

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