Are there Really Long-Run Diversification Benefits from Sustainable Investments?

Nicholas Apergis (), Vassilios Babalos, Christina Christou and Rangan Gupta
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Vassilios Babalos: Department of Accounting and Finance, University of Peloponnese, Greece
Christina Christou: Department of Economics and Management, Open University of Cyprus, Cyprus

International Journal of Business and Economics, 2019, vol. 18, issue 2, 141-163

Abstract: Socially responsible investments have turned into popular investment vehicles over the last decade. By employing a standard cointegration methodology along with a novel time-varying quantile cointegration approach, this paper estimates whether the U.S. Dow Jones Sustainability Index (DJSI) and its conventional counterpart are integrated. The results confirm the presence of an asymmetric long-run relationship between the two indices that is not picked up by the standard methodology of cointegration, rendering the cointegrating relationship to be quantile-dependent. Similar results appear for the world and European sustainability indices relative to their conventional counterparts, implying the robustness of our approach. These findings place any long-run diversification benefits under scrutiny and contain significant implications for international market participants.

Keywords: Socially responsible investments; quantile cointegration; diversification benefits (search for similar items in EconPapers)
JEL-codes: C5 G1 Q5 (search for similar items in EconPapers)
Date: 2019
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