Performance of Socially Responsible firms during the COVID-19 crisis and trading behavior by investor type: Evidence from the Korean stock market

Published: 18 October 2021| Version 1 | DOI: 10.17632/vj63kp8hbn.1
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Raw data on the main variables were used to produce our empirical results. 1. Daily returns. Daily returns of the DJSI and the non-DJSI portfolios. 2. Market and risk free. KOSPI200 daily returns for market returns and the Certificate of Deposit (91 days) interest rate for the risk-free rate. 3. Buy and sell volume. A daily trading volume data of firms in the DJSI and the non-DJSI portfolios for four investor groups: individual, foreign, public pension funds, and other institutional investors. 4. Regression data_Investors. A dataset to regress the cumulative abnormal returns on the net buying ratio of each investor group.

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Financial Economics

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