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PurposeThe purpose of this paper is to investigate green exchange‐traded funds (ETFs) and propose a market‐wide proxy for green returns and a green volatility factor.Design/methodology/approachIdentifying a unique sample of green funds, this paper investigates the time‐series behavior of returns for these investment vehicles and their associated conditional volatility dynamics via GARCH methodology. In this study, green ETFs are defined as index funds replicating market indices that invest in stocks exhibiting positive environmental, social, and governance characteristics.FindingsCumulative market‐wide green returns are found to be positive from inception year 2005 through 2008. Estimating a t‐GARCH (1,1) specification, the author finds strong evidence in favor of volatility persistence for the 15 green ETFs identified in this study. Additionally, the results suggest that a 1 percent volatility‐based value‐at‐risk forecast ranges from $24,150 through $26,000 on a daily basis. Finally, the empirical evidence provides support for weak‐form market efficiency when examining the green universe of stocks.Research limitations/implicationsGreen ETFs are relatively recent financial instruments and exhibit important implications for volatility timing strategies and the cross‐section of green stock returns.Practical implicationsKnowledge of green price behavior is important in constructing optimal hedging and risk management strategies.Social implicationsGreen ETFs provide a natural channel for sustainable investing.Originality/valueGreen ETFs exhibit the advantage of including many companies that have undertaken positive measures towards the global environment in their respective business models. This paper provides the first investigation of green ETFs.

Purpose This study aims to provide a review of corporate governance in China because effective and strong corporate governance is necessary for the efficient functioning and long-term sustainability of financial markets and corporations. Design/methodology/approach The author provides a literature review of corporate governance in China through themes such as the concentration of state ownership, the degree of independence among board directors, insider trading, quality of financial disclosures and the maturity of capital markets. Findings The author reviews empirical work surrounding key corporate governance variables and identifies avenues for future research. The author finds that corporate governance mechanisms exhibit implications for firm performance, fraud, capital retention, financial constraints, institutional investors, auditing and the quality of financial disclosures. In addition, the author reviews evidence documenting the importance of independent board directors in regulation and ethical conduct. Originality/value The literature review contributes to the growing literature on responsible corporate governance and provides further understanding of the importance of business ethics for promoting the integrity and long-term sustainability of China’s capital markets and corporations and to ensure that company assets are used efficiently and productively in the best interests of investors and other stakeholders. This study offers insights to policy-makers interested in enhancing the quality of corporate governance within their nation. In addition, it provides a macro-level perspective for executives of multinational firms to consider if they are considering making a direct investment in China.

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