Profitability and Risk Analysis of ESG Investments: Focusing on before and after COVID-19

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.