This paper investigates whether socially responsible investment indices in the United States, Canada, the Eurozone and the United Kingdom provide downside protection during market crisis when compared to their respective market indices. Socially responsible investment indices in US and Canada perform similarly to their market indices during market crisis periods between 2000 and 2014, offering neither downside protection nor excess return in overall market conditions. In Eurozone, the socially responsible investment index we selected performs worse than their market index during both the Financial Crisis and the Euro Crisis but not during the Tech Bubble. In the United Kingdom, socially responsible investment index underperforms its respective market index during all crisis periods, including the Tech Bubble, Financial Crisis and the Euro Crisis but outperforms during non-crisis periods. Overall, we do not find that SRI indices offer downmarket protection in North America and Europe.
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