ESG 투자의 수익성과 리스크 분석
Profitability and Risk Analysis of ESG Investments - Focusing on before and after COVID-19 -
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초록
본 연구는 사회적 책임투자의 유용성(수익과 리스크)을 확인하고자 사회적책임지수와 KOSPI200 간의상호 연관성을 분석하였으며 결과는 다음과 같다. 사회적책임지수와 KOSPI200의 추이는 매우 유사하고상관성은 매우 높게 나타났다. 또한 사회적책임지수의 평균수익률은 KOSPI200보다 낮고, 표준편차는더 크게 나타났으며, 코로나19 이후 기간에서 이들 간의 격차는 이전기간보다 더 큰 것으로 나타났다. 그랜저인과분석 결과 사회적책임지수와 KOSPI200은 양방향으로 강한 선행성을 가지는 것으로 나타났으며 이러한 현상은 코로나 19 이후 기간에서 더 명확하게 나타났다. 이러한 결과를 통해 현재 국내에서의 사회적책임지수의 차별성이 낮고 유용성이 떨어지고 있으나 향후 이에 대한 관심과 영향은 증가할것으로 판단된다. 따라서 사회적책임지수 편입종목들의 선정기준을 더욱 명확하게 하여 차별성을 보여주는 것이 무엇보다 중요할 것으로 여겨진다.
Abstract
This study analyzed the correlation between the Social Responsibility Index and KOSPI200 to confirm the usefulness(profit and risk) of socially responsible investment. The results are as follows. The trends between the social responsibility index and the KOSPI200 are very similar and highly correlated. In addition, the average return of the social responsibility index is lower than that of the KOSPI200, the standard deviation is larger, and the gap between them in the post-COVID-19 period is larger than in the previous period. granger causal analysis showed that the social responsibility index and KOSPI200 have strong antecedents in both directions, and this phenomenon is more evident in the post-COVID-19 period. Based on these results, the differentiation and usefulness of the social responsibility index in Korea is currently low and the usefulness is declining, but it is expected that the interest and impact on it will increase in the future. Therefore, it is considered that it will be of utmost importance to show differentiation by clarifying the selection criteria of the sports incorporated in the social responsibility index.
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