Energy, metals, market uncertainties, and ESG stocks: Analysing predictability and safe havens

Junhua Yang, Samuel Kwaku Agyei, Ahmed Bossman, Mariya Gubareva and Edward Marfo-Yiadom

The North American Journal of Economics and Finance, 2024, vol. 69, issue PB

Abstract: To address ESG stock susceptibility to episodic shocks in financial markets, we use nonparametric quantile-based techniques applied to the 2014–2022 period. We (i) analyse the ability of traditional assets to predict ESG stocks returns, (ii) explore whether oil or gold serves as a safe haven for ESG stocks, and (iii) ascertain how ESG stocks respond to market sentiment, crypto-based uncertainty, and geopolitical risk (GPR). We find that gold, oil, market sentiment (tracked by the VIX), the implied volatility of crude oil (OVX) and GPR are significant predictors of ESG returns. None of gold or oil serves as a safe haven for ESG stocks, both acting just as diversifiers. In their turn, ESG could stocks hedge against the shocks from GPR and cryptocurrency-triggered market uncertainties in bearish states of the market. These findings are important for asset allocation and risk management, assisting investors in the already ongoing switch from ordinary to sustainable investments.

Keywords: ESG stocks; Geopolitical risk; Cryptocurrency environmental attention; Predictability; Safe haven; Hedge (search for similar items in EconPapers)
JEL-codes: G10 G11 G15 Q01 Q43 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940823001535
Full text for ScienceDirect subscribers only

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:ecofin:v:69:y:2024:i:pb:s1062940823001535

DOI: 10.1016/j.najef.2023.102030

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().