About the Project
Faculty: Newcastle Business School
Department: Business and Management
Project Description
Socially responsible investment (SRI) on stock market means investment strategies that combine social and/or environmental benefits with financial return. This activity links together an investor’s social, ethical, ecological and economic concerns.
A number of existing papers investigated the difference in financial performance between conventional funds and SRI funds. Some studies found insignificant variations in performance of SRI funds compared with conventional market indexes in developed markets (see Cummings (2000) for Australia and Bauer et al. (2007) for Canada). However other results point towards findings which demonstrate significant differences in performance of SRI portfolios when compared to benchmark market indexes. For example, in the study by Brzeszczynski and McIntosh (2014), the annual average returns of the SRI portfolios (with dividends) were 5.26 % and 5.69 % higher relative to the benchmarks FTSE100 and FTSE4GOOD indexes (in their total return versions), respectively. However, the estimation results of the Fama–French and Carhart multifactor models showed that the returns of the SRI portfolios cannot be consistently explained by conventional factors other than the market factor. These findings open a new avenue for future research to investigate the factors that can explain the returns of the SRI stocks and SRI portfolios.
Another related stream of research is focused on the investigation of the patterns of intra- and inter-regional transmission of information across stock markets, within which return and volatility spillovers are examined using stock market indices data in order to understand the global channels of information transmission across markets in different geographical regions around the world (see, for example, Yarovaya, Brzeszczyński & Lau (2016)).
However, relatively very little research has been conducted so far that analyses different behavioural finance factors in the area of SRI investments. Many important questions still remain unanswered. For example, it is not clear what behavioural factors (e.g. media sentiment) can affect the returns of the SRI portfolios? Do SRI investors exhibit positive feedback trading activity? Do SRI investors exhibit herding activity? What is the interdependence of international SRI indexes across markets located in different geographical regions?
The answers to the above research questions are relevant to practitioners, such as stock market investors, as well as to policy makers as they can enhance their understanding of financial markets interconnectedness in the period when corporate social responsibility (CSR) is becoming an increasingly important issue and investors are becoming increasingly more concerned with ethical investing through developing preferences for selection of socially responsible firms in their investment portfolios
Eligibility and How to Apply:
Please note eligibility requirement:
• Academic excellence of the proposed student i.e. 2:1 (or equivalent GPA from non-UK universities [preference for 1st class honours]); or a Masters (preference for Merit or above); or APEL evidence of substantial practitioner achievement.
• Appropriate IELTS score, if required.
For further details of how to apply, entry requirements and the application form, see
https://www.northumbria.ac.uk/research/postgraduate-research-degrees/how-to-apply/
Please ensure you quote the advert reference above on your application form.
Start Date: 2 October 2017
Northumbria University is an equal opportunities provider and in welcoming applications for studentships from all sectors of the community we strongly encourage applications from women and under-represented groups.
References
Aloui, Chaker, Hkiri, Besma, Lau, Chi Keung and Yarovaya, Larisa (2016). Investors’ sentiment and US Islamic and conventional indexes nexus: A time–frequency analysis. Finance Research Letters, 19, 54-59.
Apergis, N., Lau, M. C. K., & Yarovaya, L. (2016). Media Sentiment and CDS Spread Spillovers: Evidence from the GIIPS Countries. International Review of Financial Analysis, 47, 50-59.
Brzeszczyński, J., & McIntosh, G. (2014). Performance of Portfolios Composed of British SRI Stocks. Journal of Business Ethics, 120(3), 335-362.
Chau, F., Deesomsak, R., & Lau, C. K. M. (2011). Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets. International Review of Financial Analysis, 20(5), 292-305.
Fung, Ka Wai, Demir, Ender, Lau, Marco and Chan, Kwok (2015) Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul. Journal of International Financial Markets Institutions & Money, 34. pp. 337-355.
Fung, Ka Wai Terence, Lau, C. K. M and Chan, Kwok Ho (2014). The conditional equity premium, cross-sectional returns and stochastic volatility. Economic Modelling, 38. pp. 316-327.
Lau C. K. M., Demir E., Belgin M. H. (2013) Experience-based corporate corruption and stock market volatility: Evidence from emerging markets. Emerging Markets Review, 17, 1-13.
Gozgor, G., Lau, C. K. M., and Belgin M. H. (2016). Commodity Markets Volatility Transmission: Roles of Risk Perceptions and Uncertainty in Financial Markets. Journal of International Financial Markets Institutions and Money, 44, 35-45.
Yarovaya, L., Brzeszczyński, J., & Lau, C. K. M. (2016). Intra-and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures. International Review of Financial Analysis, 43, 96-114.
Yarovaya, L., & Lau, M. C. K. (2016). Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets. Research in International Business and Finance, 37, 605-619.
Yarovaya, L., Brzeszczyński, J., & Lau, C. K. M. (2016). Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators. Finance Research Letters, 17, 158-166.
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