Are socially responsible investment markets worldwide integrated?
Bibliographic record
Abstract
Purpose This study seeks to investigate the extent and structure of equity price interdependence among the socially responsible investment (SRI) markets of Australia, Canada, Japan, UK and USA over the period 1994‐2010. Design/methodology/approach The paper examines the degree of price co‐movement between SRI markets by using a vector autoregression analysis to identify the markets which have significant price co‐movements. Subsequently, a variance decomposition analysis is conducted among the markets which are significantly related in order to determine the extent of interaction between these markets and to identify the markets that are most and least influential. Findings The results show that the SRI markets are significantly interdependent and have become more so over the years. The USA and the UK are the markets most linked to others while Canada and Australia are the most influential. However, although the markets are significantly integrated, the level of integration is still at a low level. Originality/value This is the first known study to examine price linkages among international SRI markets. This knowledge is important for investors as the benefits from international diversification depends on the extent of linkages between different SRI markets. Such knowledge is also valuable for policymakers and regulators if they are to address international contagion risk between markets. The study found that SRI markets are significantly linked; however, the level of linkages is still at a relatively low level. This implies that there are still significant benefits to be derived by SRI investors through international diversification.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.004 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.002 | 0.002 |
| Science and technology studies | 0.001 | 0.002 |
| Scholarly communication | 0.003 | 0.004 |
| Open science | 0.000 | 0.002 |
| Research integrity | 0.000 | 0.001 |
| Insufficient payload (model declined to judge) | 0.004 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".