Ethical and unethical investments under extreme market conditions

Petter Olofsson, Anna Råholm, Gazi Uddin, Victor Troster and Sang Hoon Kang

International Review of Financial Analysis, 2021, vol. 78, issue C

Abstract: This study investigates the time-varying volatility and risk measures of ethical and unethical investments. We apply the Bayesian Markov-switching generalized autoregressive conditional heteroscedasticity (MS-GARCH) approach to compute the value-at-risk (VaR) and expected shortfall (ES) of ethical and unethical indices returns, which allows for detecting the differences between ethical and unethical investments. The innovative finding of our study is that ethical investments are less affected during global financial crises compared with unethical and conventional investments. The policy implication of this study is that investors should consider ethical investments as a hedging asset for their portfolios during extreme market conditions.

Keywords: Ethical investments; Unethical investments; MS-GARCH; Bayesian estimation; Crisis; Value-at-risk; Expected shortfall (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002726

DOI: 10.1016/j.irfa.2021.101952

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