Volatility transmission and hedging strategies across green and conventional stocks in global markets

Renata Karkowska and Szczepan Urjasz

International Review of Financial Analysis, 2024, vol. 96, issue PB

Abstract: To secure financing for climate initiatives, it is crucial to minimize the risk associated with green investments and attract investors committed to a robust, sustainable, low-carbon economy. Motivated by this need, this study investigates the volatility transmission between green and conventional stocks in the US, Europe, and China, and evaluates the effectiveness of hedging strategies for green investments. The period from June 1, 2016, to December 31, 2023, was selected to capture significant events impacting global markets, such as environmental regulations, the COVID-19 pandemic, and the Russia-Ukraine war, providing a comprehensive view of market dynamics under various conditions.

Keywords: Green financials; Connectedness; Green assets; Portfolio diversification; Hedging effectiveness; TVP-VAR (search for similar items in EconPapers)
JEL-codes: G14 G15 G18 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521924006598
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006598

DOI: 10.1016/j.irfa.2024.103727

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
Bibliographic data for series maintained by Catherine Liu ().