Abstract:
Purpose – This study seeks to investigate the extent and structure of equity price interdependence among the socially responsible investment (SRI) markets of Australia, Canada, Japan, UK and USA over the period 1994-2010.
Design/methodology/approach – The paper examines the degree of price co-movement between SRI markets by using a vector autoregression analysis to identify the markets which have significant price co-movements. Subsequently, a variance decomposition analysis is conducted among the markets which are significantly related in order to determine the extent of interaction between these markets and to identify the markets that are most and least influential.
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