AbstractWe investigate the performance of the stock and volume effect associated with changes in the composition of the socially responsible investment (SRI) governance index during a period from 2003 to 2012. It turns out that, in the short term and long term, the announcement of inclusion in the SRI governance index has a positive effect in the stock market; however, exclusion from the SRI governance index has a negative effect. The price reversal phenomenon partly appears in the short term, and stock prices are increased again. The increase of stock prices in the short and long runs indicates a change in intrinsic value. The performance of stock prices in the short and long runs is positive (+); this is caused by the downward‐sloping demand curve (DSDC). The trading volume for event periods is a little more than the current volume in trading volume analysis. Therefore, using these results, we can adopt the price pressure hypothesis, information hypothesis, DSDC hypothesis and liquidity hypothesis.