Asymmetric multifractal behaviour and network connectedness between socially responsible stocks and international oil before and during COVID-19

Mobeen Ur Rehman, Nasir Ahmad and Xuan Vinh Vo

Physica A: Statistical Mechanics and its Applications, 2022, vol. 587, issue C

Abstract: Energy market is witnessed to have high integration with international equity markets ranging from traditional assets to newly introduced asset classes, especially after increased financialization during the last decade. We compare the connectedness between international oil market and socially responsible stocks before and during the recent pandemic COVID-19. Socially responsible stocks are increasingly becoming popular because of their social cause as well as less integration with other assets, however since their acceptance, have never been tested against the contagion phenomena. We utilize daily data ranging from March 2016 to June 2020 to investigate integration and spillover before and during COVID-19 period. Our methodological framework includes asymmetric multifractal detrended approach, network connectedness and conditional diversification measures. Our sampled SRI funds exhibit multifractal behaviour and share bidirectional spillover with oil. The SRI funds demonstrate good hedging abilities during normal and COVID-19 period and for similar reason are suggested as optimal asset together with oil futures in a portfolio. Furthermore, these SRI funds yield optimal diversification benefits with oil futures under bearish market conditions.

Keywords: Socially responsible stocks; Oil; COVID-19; Network connectedness; AMFDFA; Conditional diversification benefits (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437121007627
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:587:y:2022:i:c:s0378437121007627

DOI: 10.1016/j.physa.2021.126489

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().