 Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approachWenting Zhang, Xie He and Shigeyuki Hamori International Review of Financial Analysis, 2022, vol. 83, issue C Abstract: This study analyzes the dynamic connectedness between the ESG stock index, the renewable energy stock index, the green bond stock index, the sustainability stock index, and the carbon emission futures by employing a novel method: the DCC-GARCH-based dynamic connectedness approach. Given the strong volatility spillover among these indexes, we adopt the DCC-GARCH t-copula model to calculate these indexes' hedging ratios and portfolio weights. Our findings show that the carbon emission futures are the volatility transmitter, and the green bond is the volatility receiver. The total dynamic connectedness is affected by international political, economic, and other events. Furthermore, for stock market volatility investors, taking the long position in carbon emission futures and the short position in renewable energy stock can achieve the highest hedging effect. Keywords: ESG index; Sustainability-related index; Carbon emission futures; Connectedness; Risk hedging; DCC-GARCH-based dynamic connectedness approach (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:finana:v:83:y:2022:i:c:s1057521922001843 DOI: 10.1016/j.irfa.2022.102223 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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