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This paper examines whether gold is a hedge or a diversifier for socially responsible and conventional investment in Korea. To answer this question, daily returns between January 2006 and December 2015 were analyzed. This time span included the implementation of the Korean Green New Deal. The autoregressive distributed lag method was used to analyze the daily returns for socially responsible investment, conventional investment, and gold. The results suggest that gold is a strong diversifier, but a weak hedge, for socially responsible investment and conventional investment in Korea. For the sub-period, including the 2008 financial crisis, no evidence of gold being a safe haven was found. Furthermore, the study found that neither negative nor positive shocks have a significant impact on the volatility of the Dow Jones Socially Responsible Investment Index Korea. However, positive shocks contribute to volatility in the first sub-period between 2006 and 2010, and negative shocks contribute to volatility in the second sub-period between 2001 and end of 2015.