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Environmentally sustainable investment: Dynamics between global thematic indices

Vítor Gabriel

Cuadernos de Gestión, 2018

Abstract: [EN] This study analyses the long-term and short-term dynamics established between environmentally sustainable investment segments, applying a diverse methodological proposal based on the Johansen cointegration approach, Granger causality concept, and impulse response functions and considering a multivariate asymmetric GARCH model. Five environmental investment segments were selected, in particular concerning alternative energy, clean technology, green building, sustainable water, and pollution prevention. The results show that the investment segments do not follow similar paths in the long term. In the short term, sustainable water is particularly autonomous and contributes to explaining the movements in the remaining segments. Evidence of own and cross-contagion effects was found as well as asymmetric volatility effects. This poses great challenges for investors in diversifying investment.

Keywords: sustainable investment; thematic indices; cointegration; vector autoregression; impulse response; multivariate asymmetric GARCH; inversión sostenible; índices temáticos; cointegración; vector autorregresivo; funciones de impulso-respuesta; GARCH multivariante asimétrico (search for similar items in EconPapers)
JEL-codes: Q01 C58 (search for similar items in EconPapers)
Date: 2018
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Instituto de Economía Aplicada a la Empresa, Revista Cuadernos de Gestión, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
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