Understanding the implications of macroeconomic factors and alternative investments on ESG and green indices returns: the case for India

Vijeta Singh and Nandita Mishra

Chapter 10 in A Modern Guide to Energy Economics, 2024, pp 257-288 from Edward Elgar Publishing

Abstract: India has committed to achieving sustainable development goals by 2030 and has an ambitious target of achieving net zero emissions by 2070. This has led to the rise of ESG and green stocks/indices in the capital market which are new investment alternatives alongside conventional stocks/indices. These indices have witnessed modest growth since their inception in the capital markets. There has been an increased inter-connectedness (movement in volatilities and returns) amongst various ESG/green indices with other indices components of the capital markets and macroeconomic factors. In this context, the present chapter investigates the dynamic interconnectedness between ESG/green indices, macroeconomic factors, and alternative investment instruments. Using the Vector Error Correction Model (VECM) and cointegration technique, the study concludes sovereign bond returns, gold prices, inflation, and exchange rate negatively affect the ESG/green indices return while benchmark stock index Sensex had a positive impact on the returns of Indian ESG/green indices. Further, the study also confirmed the presence of structural breaks during the COVID-19 period and ESG/green indices, and the financial performance of ESG/green indices were not significantly different from the benchmark index (Sensex).

Keywords: Economics and Finance; Environment (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.elgaronline.com/doi/10.4337/9781803927732.00022 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 503 Service Temporarily Unavailable

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:elg:eechap:21780_10

Ordering information: This item can be ordered from
http://www.e-elgar.com

Access Statistics for this chapter

More chapters in Chapters from Edward Elgar Publishing
Bibliographic data for series maintained by Darrel McCalla ().