Volatility spillovers and hedging strategies between impact investing and agricultural commodities

Ameet Kumar Banerjee, Md Akhtaruzzaman, Ahmet Sensoy and John W. Goodell

International Review of Financial Analysis, 2024, vol. 94, issue C

Abstract: We examine spillover and hedging among impact investing and agricultural commodities. Results demonstrate that impact investing is a prominent spillover transmitter during both calm conditions and crises, while agricultural commodities are typically receivers. Analysis indicates that hedging effectiveness is enhanced by portfolios containing impact investing and agricultural products, with this more so during crises. Additionally, analysis reveals that irrespective of position on the risk aversion spectrum, investors gain utility substantially by including impact investing and agricultural assets, even considering transaction costs. These findings add to the extant literature and offer practical implications for investors, fund managers, and policymakers regarding risk management perspectives and portfolio diversification.

Keywords: Impact investing; Agricultural commodities; Connectedness; Hedging; Diversification (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G15 G23 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001698

DOI: 10.1016/j.irfa.2024.103237

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