Shades between Black and Green Investment: Balance or Imbalance?

Vítor Manuel de Sousa Gabriel, María Mar Miralles-Quirós and José Luis Miralles-Quirós
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Vítor Manuel de Sousa Gabriel: Center for Advanced Studies in Management and Economics (CEFAGE), Polytechnic Institute of Guarda, 6300-559 Guarda, Portugal
María Mar Miralles-Quirós: Department of Financial Economics, University of Extremadura, 06006 Badajoz, Spain
José Luis Miralles-Quirós: Department of Financial Economics, University of Extremadura, 06006 Badajoz, Spain
Authors registered in the RePEc Author Service: José Luis Miralles Quirós

Sustainability, 2021, vol. 13, issue 9, 1-14

Abstract: This paper analyses the links established between environmental indices and the oil price adopting a double perspective, long-term and short-term relationships. For that purpose, we employ the Bounds Test and bivariate conditional heteroscedasticity models. In the long run, the pattern of behaviour of environmental indices clearly differed from that of the oil prices, and it was not possible to identify cointegrating vectors. In the short-term, it was possible to conclude that, in contemporaneous terms, the variables studied tended to follow similar paths. When the lag of the oil price variable was considered, the impacts produced on the stock market sectors were partially of a negative nature, which allows us to suppose that this variable plays the role of a risk factor for environmental investment.

Keywords: environmental investment; oil price; cointegration; dynamic conditional correlation (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:13:y:2021:i:9:p:5024-:d:546607

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