HEC-Ecole de gestion de l'Université de Liège
HEC-Ecole de gestion de l'Université de Liège

Performance of the socially responsible indices in market turmoil

Räkköläinen, Jesse ULiège
Promotor(s) : Santi, Caterina ULiège
Date of defense : 21-Jun-2023/28-Jun-2023 • Permalink :
Title : Performance of the socially responsible indices in market turmoil
Author : Räkköläinen, Jesse ULiège
Date of defense  : 21-Jun-2023/28-Jun-2023
Advisor(s) : Santi, Caterina ULiège
Committee's member(s) : Conlin, Andrew 
Language : English
Keywords : [en] Socially responsible investing
[en] SRI
[en] Responsible investing
[en] Market downturn
[en] Market crisis
[en] Investment performance
[en] CSR
[en] ESG
Discipline(s) : Business & economic sciences > Finance
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège


[en] Socially responsible investing (SRI) and related concepts have gained significant popularity in recent decades. There is a growing awareness of environmental issues, leading people to seek responsible options in their daily lives. This trend has given rise to various socially responsible and ethical funds, indices, and investment strategies, with investors becoming more knowledgeable about these options. The objective of this thesis is to explore socially responsible investing and whether SRI indices offer excess return or downside protection compared to their conventional benchmarks in market turmoil. Previous literature has yielded mixed findings regarding the performance of socially responsible investments, both in terms of outperforming and underperforming. Thus, this thesis aims to contribute further to the existing research in this area. The onset of the COVID-19 pandemic in March 2020 and the initiation of the Russia-Ukraine invasion in February 2022 marked significant periods of market turmoil. In this study, four distinct SRI indices and two conventional benchmark indices are examined. The investigation encompasses both the U.S. and Europe. The primary empirical approaches employed include the Capital Asset Pricing Model (CAPM), the Fama-French three-factor model, and the event study methodology. The empirical outcomes exhibit variation based on the chosen model. The primary discovery suggests the potential for downside protection in SRI indices during market turbulence. Cumulated abnormal returns (CAR) generally displayed positive outcomes for SRI indices irrespective of the specific event. During the onset of the crisis, SRI indices exhibited a reduction in beta, indicating their lower susceptibility to market fluctuations. The growing awareness surrounding social responsibility matters could be a contributing factor to the lack of significant results. The conflicting findings observed in both prior literature and the empirical findings of this study highlight the ongoing need for further investigation into the subject matter.



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  • Räkköläinen, Jesse ULiège Université de Liège > Master sc. gest., à fin.


Committee's member(s)

  • Conlin, Andrew
  • Total number of views 22
  • Total number of downloads 7

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