사회책임투자지수 편출･입에 대한 주식시장의 반응

We examine the stock market responses to including/excluding of a stock to/from socially responsible investment indices (‘ESG indices’ hereafter) announced by Korea Exchange. Using the cumulative market adjusted abnormal returns during the event window and the mean and market adjusted abnormal trading turnover measure on the event date, we find the following empirical results. First, positive price changes are observed for the inclusion of a stock in the ESG index, while negative price changes are observed for the exclusion. The cumulative market adjusted abnormal returns are statistically significant in both cases. The increases in market adjusted abnormal trading turnover are also statistically significant for both the inclusion and the exclusion compared to the average figures of the estimation period. The results imply that the revision of ESG indices is useful information to investors. Second, market responses tend to appear more distinctive in the KOSDAQ market compared to KOSPI market. Negative price responses are shown longer in KOSDAQ market and the increase in the abnormal trading turnover was also stronger in KOSDAQ market for both the inclusion and the exclusion cases of stocks. The results suggest that the revision of ESG index is considered more important in KOSDAQ market. Third, the stock market responses are stronger for the revisions to the ESG indices that are developed more recently. This suggests that in Korean stock market the indices developed later capture the ESG aspects of firms more effectively than did the early developed ones or investors have been aware of ESG aspects during recent years.