Sustainable investment in Korea does not catch a cold when the United States sneezes

References

• Ang, W. R., G. N. Gregoriou, and H. H. Lean. 2014. “Market-timing Skills of Socially Responsible Investment Fund Managers: The Case of North America versus Europe.” Journal of Asset Management 15 (6): 366–377. doi:10.1057/JAM.2014.34.
   Google Scholar
• Ang, W. R., and H. H. Lean. 2013a. “Socially Responsible Investing Funds.” In Asia Pacific Emerging Market and Financial Resilience: Decoupling Growth from Turbulence, edited by C. W. Hooy, R. Ali, and S. Ghon Rhee, 169–180. London: Palgrave Macmillan.
   Google Scholar
• Ang, W. R., and H. H. Lean. 2013b. “Market Timing Ability of Socially Responsible Investing Funds.” In Luxembourg. Financial Aspects of Recent Trends in the Global Economy (FINART), edited by R. Mirdala, Vol. 2, 127–135. Craiova: ASERS Publishing.
   Google Scholar
• Baker, S., N. Bloom, and S. Davis. 2012. Measuring Economic Policy Uncertainty, Working Paper Series. Stanford, CA: Stanford University.
   Google Scholar
• Bianchi, R. J., and M. E. Drew. 2012. “Sustainable Stock Indices and Long-term Portfolio Decisions.” Journal of Sustainable Finance and Investment 2 (3–4): 303–317. doi:10.1080/20430795.2012.715577.
   Google Scholar
• Chegut, A., H. Schenk, and B. Scholtens. 2011. “Assessing SRI Fund Performance Research: Best Practices in Empirical Analysis.” Sustainable Development 19 (2): 77–94. doi:10.1002/sd.509.
   Web of Science ®Google Scholar
• Consolandi, C., A. Jaiswal-Dale, E. Poggiani, and A. Vercelli. 2009. “Global Standards and Ethical Stock Indexes: The Case of the Dow Jones Sustainability Stoxx Index.” Journal of Business Ethics 87: 85–197. doi:10.1007/sl0551-008-9793-l.
   Google Scholar
• Engle, R. F. 1982. “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.” Econometrica 50 (4): 987–1007. doi: 10.2307/1912773
   Web of Science ®Google Scholar
• Hirayama, K., and Y. Tsutsui. 1998. “Threshold Effect in International Linkage of Stock Prices.” Japan and the World Economy 10 (4): 441–453. doi:10.1016/S0922-1425(98)00021-8.
   Web of Science ®Google Scholar
• Ho, M. 2013. “The Social Construction Perspective on ESG Issues in SRI Indices.” Journal of Sustainable Finance and Investment 3 (4): 360–373. doi:10.1080/20430795.2013.
   Google Scholar
• In, F., M. Kim, R. J. Park, S. Kim, and T. S. Kim. 2014. “Competition of Socially Responsible and Conventional Mutual Funds and Its Impact on Fund Performance.” Journal of Banking and Finance 44 (0): 160–176. doi:10.1016/j.jbankfin.2014.03.030.
   Web of Science ®Google Scholar
• Kang, W., and R. A. Ratti. 2013. “Oil Shocks, Policy Uncertainty and Stock Market Return.” Journal of International Financial Markets, Institutions and Money, 26: 305–318. doi:10.1016/j.intfin.2013.07.001.
   Web of Science ®Google Scholar
• Lean, H. H., W. R. Ang, and R. Smyth. 2014. “Performance Persistence of Socially Responsible Investment Funds in the Asia Pacific Region.” In Handbook of Asian Finance REITs, Trading, and Fund Performance, edited by G. Gregoriou and D. Lee, Vol. 2, 377–392. Oxford: Academic Press Inc.
   Google Scholar
• Lean, H. H., and D. K. Nguyen. 2014. “Policy Uncertainty and Performance Characteristics of Sustainable Investments across Regions around the Global Financial Crisis.” Applied Financial Economics 1–7. doi:10.1080/09603107.2014.925063.
   Google Scholar
• Managi, S., T. Okimoto, and A. Matsuda. 2012. “Do Socially Responsible Investment Indexes Outperform Conventional Indexes?” Applied Financial Economics 22 (18): 1511–1527. doi:10.1080/09603107.2012.665593.
   Google Scholar
• Mervelskemper, L., D. Kaltofen, and S. Stein. 2013. “Are Sustainable Investment Funds Worth the Effort?” Journal of Sustainable Finance and Investment 4 (2): 127–146. doi:10.1080/20430795.2013.837809.
   Google Scholar
• Nelson, D. B. 1991. “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica 59 (2): 347–370. doi: 10.2307/2938260
   Web of Science ®Google Scholar
• Nofsinger, J., A. Varma. 2014. “Socially Responsible Funds and Market Crises.” Journal of Banking and Finance 48: 180–193. doi:10.1016/j.jbankfin.2013.12.016.
   Web of Science ®Google Scholar
• Ortas, E., J. M. Moneva, and M. Salvador. 2012. “Does Socially Responsible Investment Equity Indexes in Emerging Markets Pay Off? Evidence from Brazil.” Emerging Markets Review 13 (4): 581–597. doi:10.1016/j.ememar.2012.09.004.
   Web of Science ®Google Scholar
• Renneboog, L., J. Ter Horst, and C. Zhang. 2008. “Socially Responsible Investments: Institutional Aspects, Performance, and Investor Behavior.” Journal of Banking Finance 32 (9): 723–1742. doi:10.1016/j.jbankfin.2007.12.039.
   Web of Science ®Google Scholar
• Schröder, M. 2007. “Is There a Difference? The Performance Characteristics of SRI Equity Indices.” Journal of Business Finance and Accounting 34 (1/2): 331–348. doi:10.1111/j.1468-5957.2006.00647.x.
   Web of Science ®Google Scholar
• Statman, M. 2006. “Socially Responsible Indexes.” Journal of Portfolio Management 32 (3): 100–109. doi:10.3905/jpm.2006.628411.
   Web of Science ®Google Scholar