The Impact of Socially Responsible Investing on the Asian Stock Market

Purevdagva Mungunshatar (2022) The Impact of Socially Responsible Investing on the Asian Stock Market. Pénzügyi és Számviteli Kar.

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Absztrakt (kivonat)

There have been decades-long debates over whether an increased commitment to ESG measures results in greater financial returns or not. This thesis investigates the impact of ESG performance on companies` stock returns in the Asian market. This thesis uses historical stock returns of 75 companies from 6 Asian countries such as Japan, South Korea, Malaysia, Thailand, Singapore, and China. 4 portfolios are constructed by grouping the companies according to their ESG performances. It uses a sample period of 3 years for stock returns from January 2018 to December 2020 and ESG rating from December 2017 to December 2020. ESG ratings are extracted from MSCI ESG Rating Public tool and financial information was obtained from Yahoo Finance. The annual return and Jensen`s alpha are used to compare the portfolio performance. Since the findings of previous studies regarding the relationship between ESG performance and financial performance are inconclusive, a mixed result was anticipated. Even though this thesis finds no compelling statistical evidence regarding the relationship between ESG performance and abnormal return in the Asian market, the findings of the study suggest that a portfolio with high ESG-rated companies is less risky and less volatile to the market fluctuation.

Intézmény

Budapesti Gazdasági Egyetem

Kar

Pénzügyi és Számviteli Kar

Tanszék

Pénzügy Tanszék

Tudományterület/tudományág

NEM RÉSZLETEZETT

Szak

Pénzügy és Számvitel

Konzulens(ek)

Mű típusa:	diplomadolgozat (NEM RÉSZLETEZETT)
Kulcsszavak:	corporate social responsibility, ESG, socially responsible investment, stock return, sustainable development
SWORD Depositor:	Archive User
Felhasználói azonosító szám (ID):	Archive User
Rekord készítés dátuma:	2022. Nov. 11. 08:15
Utolsó módosítás:	2022. Nov. 11. 08:15

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