The power of ethical investment in the context of political uncertainty

Figures & data

Table 1. Research Sample – 29 April 2000 to 28 April 2017.

SRI Price Index	Conventional Funds Price Index	US Administration & GFC	Risk Free Rate	Uncertainty Indices
DJSI World USA Subset (DJSIS)	S&P 500 Composite	15 September 2008 to 30 May 2009 Global Financial Crisis	US T-Bill (3 month)	CBOE SPX Volatility (VIX)
DJSI World excluding alcohol, gambling, tobacco and arms (DJSIW)	Dow Jones Industrial	Barack Obama – 20 January 2009 to 28 April 2009		US Economic Policy Uncertainty (EPUi)
MSCI KLD 400 Social (MSCI)	Nasdaq Composite	Donald Trump – 20 January 2017 to 28 April 2017		US Equity Related Economic Uncertainty (EEUi)
DJ Sustain North America (DJS)	Russell 2000
Calvert US LC Core Responsible (CALVERT)

aThe time period considered is affected by data availability for the SRIs. The research sample ran from 28 April 2000 to 28 April 2017 (4,436 daily observations per series were analysed). Representation of five ethical indices required accommodating the research sample to data available, which conditioned the number of US administrations that could be analysed. The first hundred days of the presidency are considered. Thus, the time period spans from 20 January of each term until the end of April of the same year. The Global Financial Crisis (GFC) period was identified by cross checking the performance of the S&P 500, the VIX and the EPUi and EEUi that show how the markets recovery process started after May 2009 when the S&P 500 started to show an upward trend and the uncertainty indices fell to lower volatility levels.

Figure 1. Domain causality – Calvert.

Figure 2. Domain Causality – DJSI.

Figure 3. Domain Causality – DJSI2.

Figure 4. Domain Causality – MSCI.

Figure 5. Domain Causality – DJS.

Figure 6. Realised Volatility.

Table A1. Descriptive Statistics of Daily Returns.

	CALVERTR	DJIR	DJSISR	DJSIWR	DJSR	MSCIR	NASDAQR	RUSSELLR	SP500R
Mean	0.0101%	0.0151%	0.0045%	0.0022%	0.0062%	0.0104%	0.0101%	0.0229%	0.0112%
Std. Dev.	1.28%	1.12%	1.21%	1.12%	1.18%	1.21%	1.55%	1.50%	1.20%
Skewness	−0.090223	−0.064295	−0.249147	−0.265209	−0.201821	−0.095896	0.112292	−0.275432	−0.191839
Kurtosis	10.12994	11.94051	9.623321	10.20534	10.59287	10.87629	9.097725	8.027875	12.04319
Jarque-Bera	9400.094	14,773.94	8152.393	9645.809	10,683.65	11,470.52	6880.291	4727.521	15,139.32
Sharpe Ratio	0.0047	0.0097	0.0003	−0.0018	0.0017	0.0051	0.0038	0.0125	0.0058
Observations	4435	4435	4435	4435	4435	4435	4435	4435	4435

a Sharpe Ratio = (Mean portfolio return – Risk free rate)/Standard deviation of portfolio return $SR=\frac{\overline{r_p}-r_f}{{\sigma }_p}$ where, $\overline{r_p}=expectedportfolioreturn$, $r_f=riskfreerate$, ${\sigma }_p=portfoliostandarddeviation$

Table A2. Correlation matrix.

Correlations	CALVERTR	DJIR	DJSISR	DJSIWR	DJSR	MSCIR	NASDAQR	RUSELLR	SP500R
CALVERTR	1.00	0.94	0.96	0.73	0.97	0.99	0.94	0.91	0.98
DJIR		1.00	0.95	0.73	0.96	0.96	0.83	0.86	0.97
DJSISR			1.00	0.75	0.97	0.96	0.88	0.87	0.97
DJSIWR				1.00	0.77	0.73	0.66	0.66	0.75
DJSR					1.00	0.98	0.90	0.87	0.98
MSCIR						1.00	0.92	0.90	0.99
NASDAQR							1.00	0.88	0.90
RUSSELLR								1.00	0.90
SP500R									1.00

Table A3. Market model 1.

Market Model 1 – Dow Jones Industrial	${\beta }_0$	${\beta }_1$	${\beta }_2$	${\beta }_3$	${\beta }_4$
CALVERT	−0.0001	1.071746*	−0.00076***	0.00239*	0.0000
DJSIS	−0.0001	1.015682*	−0.000887**	0.0017	0.0004
DJSIW	−0.0001	0.723922*	−0.0009	0.0017	0.0006
DJS	−0.0001	1.005887*	−0.0004	0.00118**	−0.0002
MSCI	−0.0001	1.031226*	−0.000554***	0.001811*	−0.0001
Market Model 1 -Nasdaq	${\beta }_0$	${\beta }_1$	${\beta }_2$	${\beta }_3$	${\beta }_4$
CALVERT	0.0000	0.774769*	−0.000881**	0.0009	−0.0002
DJSIS	0.0000	0.687326*	−0.001153**	0.0005	0.0003
DJSIW	0.0000	0.477646*	−0.0012	0.0010	0.0006
DJS	0.0000	0.689598*	−0.0007	0.0000	−0.0004
MSCI	0.0000	0.716162*	−0.000764***	0.0005	−0.0002
Market Model 1 – Russell 2000	${\beta }_0$	${\beta }_1$	${\beta }_2$	${\beta }_3$	${\beta }_4$
CALVERT	−0.0001	0.77634*	−0.0004	0.0012	0.0004
DJSIS	−0.0001	0.698062*	−0.0007	0.0008	0.0009
DJSIW	−0.0001	0.49553*	−0.0008	0.0011	0.0010
DJS	−0.0001	0.688714*	−0.0003	0.0003	0.0002
MSCI	−0.0001	0.729515*	−0.0003	0.0008	0.0004
Market Model 1 -SP500	${\beta }_0$	${\beta }_1$	${\beta }_2$	${\beta }_3$	${\beta }_4$
CALVERT	0.0000	1.045562*	−0.0003	0.001113*	0.0000
DJSIS	−0.0001	0.969108*	−0.000511***	0.0005	0.0005
DJSIW	−0.0001	0.693014*	−0.0007	0.0009	0.0007
DJS	0.0000	0.963531*	−0.0001	0.0000	−0.0001
MSCI	0.0000	0.995673*	−0.000137**	0.0006	0.0000

Levels of significance are recorded as follows: * 1% significance level, **5% significance level; ***10% significance level. The coefficients values are reported, and the asterisk denotes the level of significance according to recorded p-values.

Table A4. EEUi market model (Equation 4).

EEUI Market Model – Dow	${\alpha }_{10}$	${\alpha }_{11}$	${\alpha }_{12}$	${\delta }_{10}$	${\delta }_{11}$	${\delta }_{12}$	${\delta }_{210}$	${\delta }_{211}$	${\delta }_{212}$	${\delta }_{310}$	${\delta }_{311}$	${\delta }_{312}$
CALVERT	−0.0000604	1.05837*	−0.000111***	−0.000811**	0.019408	−0.001732*	0.002425*	0.115235*	0.002455*	6.1E-05	−0.126627	−0.00012
DJSIS	−0.000102***	1.011323*	−0.0000589	−0.000863**	0.00924	0.000476	0.001636*	0.024681	−0.000479	0.00034	0.079988	−0.00016
DJSIW	−0.0000984	0.730793*	−0.000065	−0.001075	−0.046795*	−0.001518	0.001874	0.054022	−0.001302	0.00058	0.071707	−0.00033
DJS	−0.0000853	0.997006*	−0.000012	−0.000404	0.02647**	−0.000144	0.00114**	0.029193	0.000261	−0.00014	−0.093903	−0.00022
MSCI	−0.0000517	1.012796*	−0.0000901***	−0.000543***	0.046527*	−0.001378*	0.001785*	0.0801*	0.001801*	0.000048	−0.150709***	−0.00016
Market Model 2 – Nasdaq	${\alpha }_{10}$	${\alpha }_{11}$	${\alpha }_{12}$	${\delta }_{10}$	${\delta }_{11}$	${\delta }_{12}$	${\delta }_{210}$	${\delta }_{211}$	${\delta }_{212}$	${\delta }_{310}$	${\delta }_{311}$	${\delta }_{312}$
CALVERT	0.0000449	0.7246*	−0.0000906	−0.000205	0.269981*	−0.000125	−0.000371	0.046199**	0.00061	−0.0004	0.168581***	−2.8E-05
DJSIS	0.00000339	0.63711*	−0.0001	−0.000335	0.292816*	0.001975*	−0.000777	−0.040125	−0.002261**	−9E-05	0.332581**	4.76E-05
DJSIW	−0.0000209	0.448838*	−0.000108	−0.000802	0.15249*	−0.000651	0.000329	−0.002153	−0.00253	0.00031	0.224285	−0.00015
DJS	0.0000177	0.642072*	−0.0000375	0.0000809	0.276253*	0.001245**	−0.001231***	−0.025933	−0.00145	−0.00048	0.138451	−5.1E-05
MSCI	0.0000522	0.660098*	−0.000107	0.0000303	0.310883*	0.000192	−0.000865	0.014563	−0.0000114	−0.00037	0.152531	−3.4E-05
Market Model 2 – Russell 2000	${\alpha }_{10}$	${\alpha }_{11}$	${\alpha }_{12}$	${\delta }_{10}$	${\delta }_{11}$	${\delta }_{12}$	${\delta }_{210}$	${\delta }_{211}$	${\delta }_{212}$	${\delta }_{310}$	${\delta }_{311}$	${\delta }_{312}$
CALVERT	−0.0000915	0.761033*	−0.000138***	−0.000298	0.06127*	−0.001456**	0.001087	−0.01661	−0.000587	0.00058	−0.288687*	0.000279
DJSIS	−0.00012	0.681254*	−0.00013	−0.00044	0.084094*	0.000692	0.0005	−0.075449*	−0.003145*	0.00096	−0.180815**	0.000363
DJSIW	−0.000114	0.503897*	−0.000105	−0.00097	−0.038948***	−0.001705	0.001289	0.005751	−0.002929***	0.00104	−0.151268	4.91E-05
DJS	−0.000103	0.672551*	−0.0000812	−0.0000438	0.077961*	−0.0000438	0.0000644	−0.057363**	−0.002316**	0.00038	−0.250914*	0.000216
MSCI	−0.0000757	0.707196*	−0.000137***	−0.000076	0.092891*	−0.001142***	0.000531	−0.035417	−0.001078	0.00053	−0.266956*	0.000228
Market Model 2 – S&P 500	${\alpha }_{10}$	${\alpha }_{11}$	${\alpha }_{12}$	${\delta }_{10}$	${\delta }_{11}$	${\delta }_{12}$	${\delta }_{210}$	${\delta }_{211}$	${\delta }_{212}$	${\delta }_{310}$	${\delta }_{311}$	${\delta }_{312}$
CALVERT	−0.0000211	1.059244*	−0.0000293	−0.000485**	−0.069427*	−0.000991*	0.001274*	0.092019*	0.00118*	2.5E-05	−0.000695	4.17E-05
DJSIS	−0.0000613	0.984644*	−0.00000346	−0.000576**	−0.053163*	0.001163*	0.00063	0.003913	−0.001688*	0.00035	0.185769**	8.68E-05
DJSIW	−0.000069	0.713646*	−0.0000232	−0.000862	−0.081917*	−0.001016	0.001162	0.018087	−0.002234	0.0006	0.12342	−0.00014
DJS	−0.0000454	0.975575*	0.0000466	−0.000116	−0.04189*	0.00054***	0.000126	0.012021	−0.00093**	−0.00015	0.010515	−3.8E-05
MSCI	−0.0000124	1.000425*	−0.000023	−0.000234	−0.031105*	−0.000659*	0.00069*	0.058686*	0.000554***	1.3E-05	−0.023171	−3.3E-06

Levels of significance are recorded as follows: * 1% significance level, **5% significance level; ***10% significance level. The coefficients values are reported and the asterisk denotes the level of significance according to recorded p-values.

Table A5. EPUi market model (Equation 2).

EPUI Market Model – Dow Jones Industrial	${\alpha }_{20}$	${\alpha }_{21}$	${\alpha }_{22}$	${\delta }_{120}$	${\delta }_{121}$	${\delta }_{122}$	${\delta }_{220}$	${\delta }_{221}$	${\delta }_{222}$	${\delta }_{320}$	${\delta }_{321}$	${\delta }_{322}$
CALVERT	−6.1E-05	1.059321*	−0.000073	−0.000738***	0.023394***	0.00113	0.002346*	0.107429*	−0.002957***	7.57E-05	−0.130963	0.000506
DJSIS	−1.03E-04	1.011846*	−7.78E-05	−0.000879**	0.007598	−0.000228	0.001657*	0.025252	0.001467	3.50E-04	0.071998	0.000124
DJSIW	−9.9E-05	0.731389*	−0.000132	−0.001096	−0.048818*	−0.002117***	0.001895*	0.061383	−0.000186	0.0006	0.053288	−0.000165
DJS	−8.5E-05	0.99717*	−0.000153***	−0.000398	0.026757**	0.001326***	0.001131**	0.028982	−0.002348***	−0.00012	−0.100774	0.00032
MSCI	−5.2E-05	1.013546*	3.69E-07	−0.000485	0.049709	0.000734	0.001724*	0.074506*	−0.001648	6.39E-05	−0.156773***	0.000333
Market Model 3 – Nasdaq	${\alpha }_{20}$	${\alpha }_{21}$	${\alpha }_{22}$	${\delta }_{120}$	${\delta }_{121}$	${\delta }_{122}$	${\delta }_{220}$	${\delta }_{221}$	${\delta }_{222}$	${\delta }_{320}$	${\delta }_{321}$	${\delta }_{322}$
CALVERT	4.47E-05	0.725169*	0.00017	−0.000196	0.270309*	0.001564***	−0.000373	0.042741***	−0.00134	−0.00039	0.164406***	−0.000526
DJSIS	3.17E-06	0.637729*	0.000145	−0.000417	0.2863*	0.000174	−0.000687	−0.032652	0.002877	−9.53E-05	0.329198**	−0.001033
DJSIW	−2.1E-05	0.449477*	0.0000643	−0.000767	0.153962*	−0.002405	0.000259	0.015846	0.003779	0.000318	0.215594	−0.001043
DJS	1.76E-05	0.642307*	0.0000686	0.0000274	0.272418*	0.00172	−0.001177	−0.021049	−0.000907	−0.00048	0.134966	−0.000677
MSCI	0.000052	0.66078*	0.000227***	0.0000262	0.310106*	0.001166	−0.000855	0.013866	−0.000105	−0.00036	0.147584	−0.000625
Market Model 3 – Russell 2000	${\alpha }_{20}$	${\alpha }_{21}$	${\alpha }_{22}$	${\delta }_{120}$	${\delta }_{121}$	${\delta }_{122}$	${\delta }_{220}$	${\delta }_{221}$	${\delta }_{222}$	${\delta }_{320}$	${\delta }_{321}$	${\delta }_{322}$
CALVERT	−9.2E-05	0.761889*	0.0000445	−0.000232	0.064066*	0.000913	0.001003	−0.011511	−0.003855***	0.000573	−0.288667*	−0.000551
DJSIS	−0.00012	0.682061*	3.48E-05	−0.000462	0.081998*	−0.000437	0.000518	−0.066772**	0.000784	0.000937	−0.180169**	−0.001085
DJSIW	−0.00011	0.50455*	−0.0000136	−0.000891	−0.035505***	−0.002802	0.001195	0.016167	0.002294	0.001033	−0.1522	−0.001078
DJS	−0.0001	0.673056*	−0.0000424	−0.0000391	0.077755*	0.001117	0.0000449	−0.048873***	−0.00303	0.000362	−0.250568*	−0.000698
MSCI	−7.6E-05	0.708044*	0.000113	−0.0000224	0.094972*	0.000523	0.000463	−0.029897	−0.002473	0.000517	−0.267227*	−0.000647
Market Model 3 – S&P 500	${\alpha }_{20}$	${\alpha }_{21}$	${\alpha }_{22}$	${\delta }_{120}$	${\delta }_{121}$	${\delta }_{122}$	${\delta }_{220}$	${\delta }_{221}$	${\delta }_{222}$	${\delta }_{320}$	${\delta }_{321}$	${\delta }_{322}$
CALVERT	−2.1E-05	1.059498*	−0.0000423	−0.000443**	−0.066903*	0.000766	0.001226*	0.089413*	−0.002345*	2.52E-05	0.000399	0.000185
DJSIS	−6.13E-05	0.984685*	−4.61E-05	−0.000623**	−0.056366*	−0.000574	0.000681	0.009267	0.002061***	3.42E-04	0.18473**	−0.000289
DJSIW	−6.9E-05	0.713858*	−0.0000722	−0.000816	−0.079233*	−0.002885***	0.001103	0.034942	0.003122	0.000606	0.115493	−0.000512
DJS	−4.5E-05	0.975224*	−0.000123**	−0.000141	−0.04316*	0.00098***	0.000146	0.016361	−0.001761**	−0.00015	0.009974	−1.46E-05
MSCI	−1.2E-05	1.000606*	0.0000309	−0.000206*	−0.029426	0.000376	0.000659*	0.058053*	−0.00104	0.000015	−0.023357	3.36E-05

Levels of significance are recorded as follows: * 1% significance level, **5% significance level; ***10% significance level. The coefficients values are reported and the asterisk denotes the level of significance according to recorded p-values.

Table A6. VIX market model (Equation 3).

VIX Market Model 4 – Dow Jones Industrial	${\alpha }_{30}$	${\alpha }_{31}$	${\alpha }_{32}$	${\delta }_{130}$	${\delta }_{131}$	${\delta }_{132}$	${\delta }_{230}$	${\delta }_{231}$	${\delta }_{232}$	${\delta }_{330}$	${\delta }_{331}$	${\delta }_{332}$
CALVERT	−4.82E-05	0.960878*	−0.020307*	−0.00082**	0.062144**	−0.00409	0.002224*	0.088982**	−0.011686	0.000111	−0.116283	0.008578
DJSIS	−9.29E-05	0.935191*	−0.01581*	−0.000931**	0.04869**	0.001264	0.001638*	0.03975	0.004135	0.000398	0.056132	0.002109
DJSIW	−8.96E-05	0.660284*	−0.014661*	−0.001365***	−0.266008*	−0.105537*	0.002539**	0.513598*	0.190286*	0.000733	−0.097887	−0.01896
DJS	−7.67E-05	0.929584*	−0.013933*	−0.000461	0.047519**	−0.0052	0.00102**	0.009426	−0.011699	−9.6E-05	−0.093503	0.005237
MSCI	−4.05E-05	0.923575*	−0.018565*	−0.00056***	0.084434*	−0.004017	0.001631*	0.067117***	−0.00659	9.08E-05	−0.133403	0.00922
Market Model 4 – Nasdaq	${\alpha }_{30}$	${\alpha }_{31}$	${\alpha }_{32}$	${\delta }_{130}$	${\delta }_{131}$	${\delta }_{132}$	${\delta }_{230}$	${\delta }_{231}$	${\delta }_{232}$	${\delta }_{330}$	${\delta }_{331}$	${\delta }_{332}$
CALVERT	0.0000485	0.612791*	−0.038214*	−0.000345	0.305962*	0.00364	−0.000347	0.009717	−0.026913**	−0.00037	0.252067**	0.034569*
DJSIS	7.93E-06	0.496603*	−0.047996*	−0.000587	0.340322	0.008652	−0.000633	−0.037543	−0.012613	−1.8E-05	0.402941*	0.038078*
DJSIW	−1.71E-05	0.331062*	−0.040277*	−0.001413***	−0.063737	−0.111743*	0.000914	0.36923*	0.161479*	0.00059	0.084971	0.004148
DJS	0.0000218	0.517792*	−0.042352*	−0.000224	0.266592*	−0.016448**	−0.001074	−0.021519	−0.014548	−0.00043	0.212571	0.03545*
MSCI	0.0000564	0.529835*	−0.044525*	−0.000147	0.352134*	0.004422	−0.000807	−0.005078	−0.020458	−0.00034	0.260293**	0.041805*
Market Model 4 – Russell 2000	${\alpha }_{30}$	${\alpha }_{31}$	${\alpha }_{32}$	${\delta }_{130}$	${\delta }_{131}$	${\delta }_{132}$	${\delta }_{230}$	${\delta }_{231}$	${\delta }_{232}$	${\delta }_{330}$	${\delta }_{331}$	${\delta }_{332}$
CALVERT	−6.58E-05	0.642595*	−0.033817*	−0.000664	−0.016405	−0.078392*	0.001083	0.069323**	0.027932	0.000565	−0.22359*	0.01791
DJSIS	−0.000087	0.53029*	−0.043023*	−0.000903***	0.034119	−0.069131*	0.000635	0.03368	0.040283**	0.000934	−0.109374	0.01927
DJSIW	−9.09E-05	0.396657*	−0.030585*	−0.00163**	−0.27736*	−0.165903*	0.001886	0.35624*	0.189793*	0.001053	−0.185058	−0.010714
DJS	−7.17E-05	0.52998*	−0.040558*	−0.000545	−0.012382	−0.090439*	0.000163	0.05726**	0.040304	0.000351	−0.163097***	0.024248***
MSCI	−4.69E-05	0.573962*	−0.038009*	−0.000475	0.021452	−0.078604*	0.000568	0.064141**	0.035617**	0.000503	−0.177132**	0.025106**
Market Model 4 – S&P 500	${\alpha }_{30}$	${\alpha }_{31}$	${\alpha }_{32}$	${\delta }_{130}$	${\delta }_{131}$	${\delta }_{132}$	${\delta }_{230}$	${\delta }_{231}$	${\delta }_{232}$	${\delta }_{330}$	${\delta }_{331}$	${\delta }_{332}$
CALVERT	−2.39E-05	1.090293*	0.00644*	−0.000408**	−0.077949*	0.002368	0.001222*	0.078833*	−0.00352	0.000033	−0.042151	−0.007799
DJSIS	−6.21E-05	0.993311*	0.001806	−0.000591***	−0.045069**	0.007091	0.000707	0.020787	0.006706	0.000371	0.131148	−0.007874
DJSIW	−6.84E-05	0.705958*	−0.001647	−0.001189***	−0.300728*	−0.10071*	0.001819	0.430135*	0.187317*	0.000746	−0.118647	−0.029815
DJS	−4.75E-05	0.99953*	0.005088*	−0.000125	−0.05915*	−0.001384	0.000123	0.001421	−0.006775	−0.00014	−0.02073	−0.006041
MSCI	−1.37E-05	1.015552*	0.003123*	−0.000185	−0.032419*	0.002209	0.000665*	0.0567*	0.000333	1.46E-05	−0.036539	−0.002834

Levels of significance are recorded as follows: * 1% significance level, **5% significance level; ***10% significance level. The coefficients values are reported, and the asterisk denotes the level of significance according to recorded p-values.

Table A7. Cointegration tests (Causality domain model).

CALVERT	Dow Jones Industrial	Nasdaq	Russell 2000	S&P 500	EPUi	EEUi	VIX
Johansen Cointegration Test
DJSIS	No	No	No	No	Yes*	Yes*	Yes*
DJSIW	No	No	No	No	Yes*	Yes*	Yes*
DJS	No	No	No	No	Yes*	Yes*	Yes*
MSCI	No	No	No	No	Yes*	Yes*	Yes*
Engle-Granger Cointegration Test
DJSIS	No	No	No	No	Yes*	Yes*	Yes*
DJSIW	No	No	No	No	Yes*	Yes*	Yes*
DJS	No	No	No	No	Yes*	Yes*	Yes*
MSCI	No	No	No	No	Yes*	Yes*	Yes*
PhilipsOulairis Cointegration Test
DJSIS	No	No	No	No	Yes*	Yes*	Yes*
DJSIW	No	No	No	No	Yes*	Yes*	Yes*
DJS	No	No	No	No	Yes*	Yes*	Yes*
MSCI	No	No	No	No	Yes*	Yes*	Yes*