The impact of socially responsible investment index constituent announcements on firm price: evidence from the JSE
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 insig...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2012-11-01
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| Series: | South African Journal of Economic and Management Sciences |
| Online Access: | https://sajems.org/index.php/sajems/article/view/236 |
| _version_ | 1819296628815691776 |
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| author | Chimwemwe Chipeta Olga Gladysek |
| author_facet | Chimwemwe Chipeta Olga Gladysek |
| author_sort | Chimwemwe Chipeta |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-24T05:01:08Z |
| format | Article |
| id | doaj.art-9632288784e645c3ad374542922fa32b |
| institution | Directory Open Access Journal |
| issn | 1015-8812 2222-3436 |
| language | English |
| last_indexed | 2024-12-24T05:01:08Z |
| publishDate | 2012-11-01 |
| publisher | AOSIS |
| record_format | Article |
| series | South African Journal of Economic and Management Sciences |
| spelling | doaj.art-9632288784e645c3ad374542922fa32b2022-12-21T17:14:08ZengAOSISSouth African Journal of Economic and Management Sciences1015-88122222-34362012-11-0115442943910.4102/sajems.v15i4.236171The impact of socially responsible investment index constituent announcements on firm price: evidence from the JSEChimwemwe Chipeta0Olga Gladysek1Universityof the WitwatersrandUniversity of WitwatersrandThis 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.https://sajems.org/index.php/sajems/article/view/236 |
| spellingShingle | Chimwemwe Chipeta Olga Gladysek The impact of socially responsible investment index constituent announcements on firm price: evidence from the JSE South African Journal of Economic and Management Sciences |
| title | The impact of socially responsible investment index constituent announcements on firm price: evidence from the JSE |
| title_full | The impact of socially responsible investment index constituent announcements on firm price: evidence from the JSE |
| title_fullStr | The impact of socially responsible investment index constituent announcements on firm price: evidence from the JSE |
| title_full_unstemmed | The impact of socially responsible investment index constituent announcements on firm price: evidence from the JSE |
| title_short | The impact of socially responsible investment index constituent announcements on firm price: evidence from the JSE |
| title_sort | impact of socially responsible investment index constituent announcements on firm price evidence from the jse |
| url | https://sajems.org/index.php/sajems/article/view/236 |
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