气候变化领域集成服务门户(CCPortal): Quantifying the asymmetric spillovers in sustainable investments

CCPortal

DOI	10.1016/j.intfin.2021.101480
	Quantifying the asymmetric spillovers in sustainable investments
	Iqbal, Najaf; Naeem, Muhammad Abubakr; Suleman, Muhammed Tahir
发表日期	2022
ISSN	1042-4431
EISSN	1873-0612
卷号	77
英文摘要	Owing to the growing importance of socially responsible investments in the wake of climate change mitigation goals, we estimate the asymmetric time- and frequency-spillovers between global sustainable investments. Additionally, we examine the influence of global risk factors such as US and UK economic policy uncertainties, stock market volatility, US treasury market volatility and infectious diseases related market volatility on the short- and long-run connectedness in these investments. To this end, we use daily returns and volatilities of 14 country-level Dow Jones Sustainability Indices from January 2005 to March 2021. By employing the asymmetric versions of Diebold & Yilmaz (2012, 2014) and Barunik & Krehlik (2018) time-frequency connectedness, our study addresses both good and bad contagion among sustainable investments that is unexplored in the recent literature. The results reveal significant time-frequency asymmetries in return spillovers across different regions in the short- and long-run. Germany, France, Netherlands, and the UK are the primary shock transmitters. We find more intra-regional connectedness among the Asian countries as opposed to inter-regional connectedness. Negative returns propagate more intensely than positive ones, and this contagion is considerably boosted during crises, including the COVID19. The VIX and COVID19 remain influential in the long run. The impact of MOVE is positive in the short-run while negative in the long-run, which shows an overreaction of connectedness to the US treasury market volatility in the short-run. Economic policy uncertainties in the US and the UK increase spillovers more intensely in the short-run. These results are robust to using volatility spillovers, the choice of rolling window and various forecast horizons. Our findings are distinctly important for socially responsible investors as we point out international portfolio diversification opportunities among sustainable investments. Understanding the dynamics of connectedness in sustainable investments can potentially boost financing in this market through portfolio choices and contribute to the climate change mitigation agenda of the United Nations.
英文关键词	Sustainable indices; Asymmetric time-frequency connectedness; Socially responsible investments; Green finance; Global risk factors
语种	英语
WOS研究方向	Business, Finance ; Economics
WOS类目	Social Science Citation Index (SSCI)
WOS记录号	WOS:000772018900001
来源期刊	JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/280767
作者单位	Anhui University of Finance & Economics; University College Dublin; University of Otago
推荐引用方式 GB/T 7714	Iqbal, Najaf,Naeem, Muhammad Abubakr,Suleman, Muhammed Tahir. Quantifying the asymmetric spillovers in sustainable investments[J],2022,77.
APA	Iqbal, Najaf,Naeem, Muhammad Abubakr,&Suleman, Muhammed Tahir.(2022).Quantifying the asymmetric spillovers in sustainable investments.JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY,77.
MLA	Iqbal, Najaf,et al."Quantifying the asymmetric spillovers in sustainable investments".JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY 77(2022).