Connectedness between Sustainable Investment Indexes: The QVAR Approach

Nini Johana Marín-Rodríguez (), Juan David Gonzalez-Ruiz and Sergio Botero
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Nini Johana Marín-Rodríguez: Grupo de Investigación en Ingeniería Financiera GINIF, Programa de Ingeniería Financiera, Facultad de Ingenierías, Universidad de Medellín, Medellin 050026, Colombia
Juan David Gonzalez-Ruiz: Grupo de Investigación en Finanzas y Sostenibilidad, Departamento de Economía, Facultad de Ciencias Humanas y Económicas, Universidad Nacional de Colombia—Sede Medellín, Medellin 050034, Colombia
Sergio Botero: Departamento de Ingeniería de la Organización, Facultad de Minas, Universidad Nacional de Colombia—Sede Medellín, Medellin 050034, Colombia

Economies, 2024, vol. 12, issue 7, 1-19

Abstract: We studied the relationship between sustainable investment indexes and examine whether this relationship varies in bullish, bearish, and stable financial markets. To understand this issue more deeply, we analyzed the connectedness between three indexes—the Sustainable Impact investments, Paris-aligned stocks, and green bonds indexes—using the daily closing prices from 1 June 2017 to 15 April 2024, encompassing 1793 observations. We used a quantile vector autoregressive (QVAR) model to understand the dynamic relationship among the considered indices. The findings indicate that sustainable investments are strongly interconnected in both high and low quantiles, but this connection weakens significantly during periods of market stability. The Sustainable Impact investments and Paris-aligned stocks indexes are net transmitters of impacts to other sustainable alternatives, while the green bonds index is a net receiver. We also observed an increase in interconnectedness across all quantiles during the pandemic, the Russia–Ukraine military conflict, and changes in the European Union and the United States’ monetary policies.

Keywords: SDGs; sustainable investment; green bonds; climate finance; QVAR (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2024
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