E-mail: alexandra.horobet@rei.ase.ro

+4.021.319.19.00

Lucian Belascu, Lecturer, Phd

University Lucian Blaga of Sibiu, Romania

Faculty of Economic Sciences

Department of Management, Marketing and Business Administration

Address: 17 CaleaDumbravii, Sibiu, Romania

E-mail: lucian_belascu@yahoo.com

+4.021.319.19.00

Received: July, 2012

1st Revision: September, 2012

Accepted: December, 2012

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