 In search of light in the darkness: What can we learn from ethical, sustainable and green investments?Gazi Uddin, Muhammad Yahya, Ali Ahmed, Donghyun Park and Shu Tian International Journal of Finance & Economics, 2024, vol. 29, issue 2, 1451-1495 Abstract: We analyse time‐varying risk spillover and dependence to assess the systemic risk benefits of ethical, sustainable, and green investments. Our data comprise sustainable investments from ethical, environmental, social and governance (ESG), and green bonds. We investigate the link to major asset classes, including equity, commodity, and currency markets. We find evidence of close connection between the major asset classes and sustainable assets, except green bonds. We also explore the improvement in hedging efficiency from combining ethical and ESG investments with commodities and currencies over investment horizons. Our analysis based on systemic risk measures indicates that there is evidence of lower time‐scale systemic risk connectedness in the case of commodities and currencies combined with ethical and ESG assets. These findings have significant implications for portfolio managers, policymakers, and market participants. Date: 2024 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1451-1495 Ordering information: This journal article can be ordered from Access Statistics for this article International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd. |
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