Connectedness with commodities in emerging markets: ESG leaders vs. conventional indexes

Maria E. de Boyrie and Ivelina Pavlova

Research in International Business and Finance, 2024, vol. 71, issue C

Abstract: This study investigates the dynamic connectedness of ESG Leaders and conventional equity indexes with commodities in emerging markets. Using data for emerging markets stocks from three regions (Asia, Europe, and Latin America), we compare the spillover effects from commodities to ESG and conventional indexes. Most of the transmission of shocks occurs between equity indexes, whereas spillover from commodities is limited. While there are similarities in the behavior of ESG Leaders and conventional index time series, slightly higher transmission is documented from commodities to conventional indexes compared to the ESG Leaders. Regional differences in connectedness are observed. However, from a portfolio management perspective, no notable differences can be seen between investing in either the ESG Leaders or conventional emerging market indexes when included in portfolios with commodities.

Keywords: Emerging Markets; Commodities; Asset Allocation; Investment Decision; Portfolio Choice; Hedging; Sustainable Investing; ESG Investing (search for similar items in EconPapers)
JEL-codes: F3 G11 G15 M14 Q01 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002496

DOI: 10.1016/j.ribaf.2024.102456

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