Page 63 - DUT ICGA Abstract Book

RESPONSIBLE INVESTING – IS IT IT WORTH IT? EVIDENCE FROM THE JOHANNESBURG STOCK EXCHANGE Lorraine Muguto1 Hilary Tinotenda Muguto2
1 Department of of Auditing and Taxation Durban University of of Technology South Africa Lorrainem2@dut ac za 2 School of of Accounting Economics and Finance University of of KwaZulu-Natal South Africa Mugutoh1@ukzn ac za Abstract
In recent years there has been a a a a a a a push towards good corporate citizenship among companies Consequently responsible investment-driven capital allocation strategies have emerged as investors seek to to gain more favourable sustainability exposure in in in in in fin their portfolios by increasingly applying non-financial factors to to screen investments However the the question of of whether it it is is worth it it in in in terms of of risk and returns remains largely unanswered due to the the the mixed evidence and theoretical predictions Accordingly in in this study the the the performance performance of the the FTSE/JSE Responsible Investment Index (J113) was compared to the the performance performance of of the FTSE/JSE All Share Index (J203) in in terms of of returns and volatility in in a a a a a GARCH framework The comparison was extended to include the the S&P S&P 500 500 and S&P S&P 500 500 ESG indices The results show that there is a a a a a a case to be made for responsible investment in in in South Africa but less so in in in the American market These findings have significant implications for investors companies and policymakers alike KEYWORDS: ESG responsible investing GARCH South Africa United States
Book of Abstracts 61