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

Abstract

We analyse the socially responsible investment (SRI) performance in Korea over the period January 2006 to April 2014. Our analysis shows that sustainable investment portfolio, represented by Dow Jones Sustainability Index Korea, is ranked higher than most of the conventional portfolios in Korea. We also find that there is no significant effect of the 2008 global financial crisis on the sustainable investment return and volatility and US policy uncertainty does not affect the return as well. Generally, we find relative stability during crisis and non-crisis periods. We may also conclude that by decoupling sustainable investment in Korea from US market system, "Korea does not catch a cold when the United States sneezes". In other words, SRI in Korea can be an alternative investment opportunity for investors to consider for international diversification purpose.