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On the effects of uncertainty measures on sustainability indices: An empirical investigation in a nonlinear framework

Erick Meira de Oliveira, Felipe Arias Fogliano de Souza Cunha, Rafael Baptista Palazzi, Marcelo Cabus Klotzle and Paula Medina Maçaira

International Review of Financial Analysis, 2020, vol. 70, issue C

Abstract: This study investigates the effects of uncertainty measures on the dynamics of sustainability indices across different regions of the globe in the post-crisis period. The analysis is conducted under a multivariate Nonlinear Autoregressive-Distributed Lag (NARDL) framework. The results suggest that besides contributing to the Sustainable Development Goals, sustainability indices may serve as valuable tools to investors, asset managers and other stakeholders to dampen and/or offset the negative impacts of local and global measures of uncertainty, depending on the analyzed region. Other implications and an agenda for future research are also discussed.

Keywords: Sustainability indices; Uncertainty; Nonlinearity; NARDL; Asymmetric effects (search for similar items in EconPapers)
JEL-codes: C32 C52 C58 G15 F31 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.irfa.2020.101505

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