Do market conditions affect interconnectedness pattern of socially responsible equities?

Muhammad Abubakr Naeem, Zaheer Anwer, Ashraf Khan and Andrea Paltrinieri

International Review of Economics & Finance, 2024, vol. 93, issue PA, 611-630

Abstract: We assess the interconnectedness pattern of sustainability leaders from United States market during stable, boom and crisis situations for the period 01-Oct-2005 to 31-May-2021 using Qian et al. (2020) methodology. The purpose is to assess the hedging properties of sustainable firms. We find that sampled firms exhibit high connectedness during tail events. Also, they offer hedge against the market conditions. Moreover, the small and growth-oriented firms contribute to the total connectedness for all market conditions. The sampled SRI network appears favorable for forming portfolio as the average connectedness is negative for all economic conditions.

Keywords: Socially responsible investing; Connectedness; Tail risk; Network analysis (search for similar items in EconPapers)
JEL-codes: G24 (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:reveco:v:93:y:2024:i:pa:p:611-630

DOI: 10.1016/j.iref.2024.03.031

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