Document Type

Article

Rights

This item is available under a Creative Commons License for non-commercial use only

Disciplines

Business and Management.

Publication Details

Journal of Applied Economics

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 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.

DOI

https://doi.org/10.1080/15140326.2019.1683264

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