Original Research

The impact of socially responsible investment index constituent announcements on firm price: evidence from the JSE

Chimwemwe Chipeta, Olga Gladysek
South African Journal of Economic and Management Sciences | Vol 15, No 4 | a236 | DOI: https://doi.org/10.4102/sajems.v15i4.236 | © 2012 Copyright Status: Not provided. Contact Holding Institution to verify copyright status. Rights Holder: University of Pretoria
Submitted: 04 July 2011 | Published: 20 November 2012

About the author(s)

Chimwemwe Chipeta, Universityof the Witwatersrand, South Africa
Olga Gladysek, University of Witwatersrand

Full Text:

PDF (849KB)

Abstract

This paper examines whether Socially Responsible Investment (SRI) Index constituent announcements have any impact on the returns of firms listing on the JSE SRI Index. The event study methodology is utilised to estimate abnormal returns for the firms included in the Index. The results indicate insignificant average abnormal returns (AARs) for the years 2004, 2006, 2007, 2008 and 2009, suggesting no significant shareholder gains over the entire event window. However, the year 2005 is associated with positive and significant abnormal returns. Post announcement cumulative average abnormal returns (CAARs) are positive for the years 2005 and 2007. However, the year 2008 exhibited extreme swings in CAARs with a general declining trend in the latter part of the event window. These swings are attributed to the global financial crisis of 2008. Furthermore, the cumulative returns for the total sample show no clear outperformance of the SRI over the JSE All Share Index.

Keywords

No related keywords in the metadata.

Metrics

Total abstract views: 4572
Total article views: 5032

 

Crossref Citations

1. Does sustainability index matter to the hospitality industry?
Ching-Hui (Joan) Su, Chun-Da Chen
Tourism Management  vol: 81  first page: 104158  year: 2020  
doi: 10.1016/j.tourman.2020.104158

2. Reakcje rynku na zmiany składów indeksów ESG
Agata Adamska, Tomasz Dąbrowski
Optimum. Economic Studies  issue: 3(121)  first page: 28  year: 2025  
doi: 10.15290/oes.2025.03.121.02

3. Does the Underlying Design of Environmental, Social, and Governance (ESG) Indices Affect Investor Reactions? The Role of Legitimacy and Reputation Effects
Agata Adamska, Tomasz J. Dąbrowski
Sustainability  vol: 17  issue: 9  first page: 4031  year: 2025  
doi: 10.3390/su17094031

4. The market power of ESG index providers: The effects of rebalancing ESG-themed indices
Roberto Barontini, Luigi Gioja
Research in International Business and Finance  vol: 77  first page: 102902  year: 2025  
doi: 10.1016/j.ribaf.2025.102902

5. Performance and Resilience of Socially Responsible Investing (SRI) and Conventional Funds during Different Shocks in 2016: Evidence from Japan
Saiful Arefeen, Koji Shimada
Sustainability  vol: 12  issue: 2  first page: 540  year: 2020  
doi: 10.3390/su12020540

6. Screening activity matters: Evidence from ESG portfolio performance from an emerging market
Ved Dilip Beloskar, S. V. D. Nageswara Rao
International Journal of Finance & Economics  vol: 29  issue: 3  first page: 2593  year: 2024  
doi: 10.1002/ijfe.2798

7. The performance of socially responsible investment funds and exchange-traded funds: Evidence from Johannesburg stock exchange
Godfrey Marozva
Corporate Ownership and Control  vol: 11  issue: 4  first page: 150  year: 2014  
doi: 10.22495/cocv11i4p11

8. A systematic literature review of socially responsible investment and environmental social governance metrics
Luluk Widyawati
Business Strategy and the Environment  vol: 29  issue: 2  first page: 619  year: 2020  
doi: 10.1002/bse.2393

9. İTİBAR RİSKİ VE FİRMA DEĞERİ İLİŞKİSİ: BİST’TE AMPİRİK BİR UYGULAMA
Şakir SAKARYA, Nevzat ÇALIŞ
Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi  vol: 23  issue: 43  first page: 283  year: 2020  
doi: 10.31795/baunsobed.663510

10. An Index to Measure the Integrity of Investment Companies Investing Responsibility
Don Andrew
JOURNAL OF INTERNATIONAL BUSINESS RESEARCH AND MARKETING  vol: 5  issue: 5  first page: 36  year: 2020  
doi: 10.18775/jibrm.1849-8558.2015.55.3004