The role of uncertainties on sustainable stocks and green bonds

Efe Cagli, Dilvin Taşkin and Pınar Evrim Mandaci

Qualitative Research in Financial Markets, 2022, vol. 15, issue 4, 647-671

Abstract: Purpose - This paper aims to investigate the relationship between sustainable investments and a series of uncertainties from January 2014 to December 2021, including many economic and political turbulences and the COVID-19 pandemic. Design/methodology/approach - The authors use Rényi’s transfer entropy method, a nonparametric flexible tool that considers both the center distribution and lower quantiles, capturing extreme rare events that give additional insights to analysis. Findings - The authors’ results indicate significant bidirectional information transmissions between the crude oil volatility and sustainability indices. The authors report information flows between the cryptocurrency uncertainty and sustainability indices considering tail events. The results are essential for market participants making decisions during turbulent times. Originality/value - This paper is carried out for a variety of uncertainty measures and environmental, social and governance (ESG) portfolios of both developed and developing markets. It adds to literature in terms of methodology used. Rényi’s transfer entropy methodology is first used to measure the relationship between uncertainties and ESG investments.

Keywords: Sustainable investments; Green Bond; Uncertainty indices (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

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:eme:qrfmpp:qrfm-02-2022-0032

DOI: 10.1108/QRFM-02-2022-0032

Access Statistics for this article

Qualitative Research in Financial Markets is currently edited by Prof Bruce Burton

More articles in Qualitative Research in Financial Markets from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().