 The temporal variability in the returns of socially responsible funds to structural oil shocksMobeen Ur Rehman, Neeraj Nautiyal, Rami Zeitun and Xuan Vinh Vo The North American Journal of Economics and Finance, 2025, vol. 77, issue C Abstract: In this paper, we investigate the potential presence of returns comovement between socially responsible investment (SRI) funds and oil shocks based on daily data from March 8, 2016 to June 11, 2021. According to the seminal work of Ready (2018), oil shocks can be supply-, demand-, or risk-driven in nature. We applied a contemporary rolling window wavelet correlation approach across various levels of decomposition to measure the degree of comovement between oil shocks and SRI returns. The results of this highlight the heterogeneous influence of oil shocks on SRI returns. More specifically, demand shocks have a positive influence, whereas risk shocks show a negative correlation with SRI returns. In contrast, the results for supply shocks are mixed. We also noted the causal effect of risk shocks on the returns of SRI funds. This work has implications for investors who follow the ESG framework under the influence of the international oil market. Keywords: Rolling window wavelet correlation; Socially responsible funds; Oil shocks; Causality (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000063 DOI: 10.1016/j.najef.2025.102366 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 |
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