Evaluation of CSR in South Korean Market with Indices on KRX
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초록
This study compared the performance of the KOSPI 200 Index that represents the average performance of the South Korean market with KRX SRI index, KRX SRI-Eco index, KRX SRI Governance index and KRX Green, announced in South Korea. For performance evaluation, the performances of the indices were compared and analyzed, using risk-adjusted returns such as Sharpe Ratio, Treynor ratio and Jensen’s alpha, etc. As for research results, first, regarding the hypothesis that the performance of SRI index would be higher than the average performance in the market, Hypothesis 1-2 which financial performance of KRX-SRI Eco would be higher than the market average, only was partially adopted, and KRX SRI showed almost similar performance to the average performance in the market. Second, KRX SRI-Governance and KRX Green showed lower performance than the market average, and especially, KRX Green showed noticeably low performance. Like this, since various indices related to SRI showed conflicting results as compared to the average performance in the market, it could not be considered that in South Korea, SRI had a high correlation with financial performance. In South Korea, the investors’ awareness of SRI is still not high, and not many data for an empirical analysis have been accumulated. In the future, if a more sophisticated methodology is used and the performances of individual companies included in the index are analyzed, better results would come out.
Abstract
This study compared the performance of the KOSPI 200 Index that represents the average performance of the South Korean market with KRX SRI index, KRX SRI-Eco index, KRX SRI Governance index and KRX Green, announced in South Korea. For performance evaluation, the performances of the indices were compared and analyzed, using risk-adjusted returns such as Sharpe Ratio, Treynor ratio and Jensen’s alpha, etc. As for research results, first, regarding the hypothesis that the performance of SRI index would be higher than the average performance in the market, Hypothesis 1-2 which financial performance of KRX-SRI Eco would be higher than the market average, only was partially adopted, and KRX SRI showed almost similar performance to the average performance in the market. Second, KRX SRI-Governance and KRX Green showed lower performance than the market average, and especially, KRX Green showed noticeably low performance. Like this, since various indices related to SRI showed conflicting results as compared to the average performance in the market, it could not be considered that in South Korea, SRI had a high correlation with financial performance. In South Korea, the investors’ awareness of SRI is still not high, and not many data for an empirical analysis have been accumulated. In the future, if a more sophisticated methodology is used and the performances of individual companies included in the index are analyzed, better results would come out.
참고문헌 (26)
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