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 Chimwemwe Chipeta, Olga Gladysek | This work is licensed under CC Attribution 4.0
Submitted: 04 July 2011 | Published: 20 November 2012

About the author(s)

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

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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.

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