A volatility-match approach to measure performance: the case of socially responsible exchange traded funds (ETFs)

Lobato, Manuel; Rodríguez, Javier; Romero, Herminio

doi:10.1108/jrf-04-2020-0066

Cited by 61 publications

(9 citation statements)

References 21 publications

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“…Conspicuously, the investment in the environment and clean energy indices have been growing exponentially due to the increasing interests of investors toward the clean environment, renewable energy sources, socially responsible initiatives and escalated threats to the global ecosystem (Naeem et al, 2021a;Karim, 2021a, b;. Green assets are earmarked with a green label which ensures that proceeds of these investments are attributed to the projects solely related to energy efficiency, material efficiency, clean and green transportation and recycling (Arif et al, 2021a;Lobato et al, 2021;Ferrat et al, 2022;Ielasi et al, 2018). Evidence suggests that environmental, social and governance stocks outperform the conventional financial markets (Broadstock et al, 2021).…”

Section: Introductionmentioning

confidence: 99%

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Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

Karim

Naeem

2022

IJMF

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PurposeThis study aims to examine the connectedness among green, Islamic and conventional financial markets from December 2008 to May 2021. Moreover, the impact of global factors on the connectedness of given financial markets is also observed.Design/methodology/approachThis study first employed the time-varying parameter vector autoregressions (TVP-VAR) technique to explore the connectedness of markets. Second, This study utilized the wavelet coherence analysis to test the time-frequency impact of global factors in terms of implied volatilities of stock, oil, gold, currency and bond on the connectedness across financial markets.FindingsThis study finds Islamic stocks, sustainability index and S&P500 composite index are the net transmitters, whereas Sukuk, commodity index, bond market, clean energy and green bonds are the net recipient of spillovers. Time-varying features of green, Islamic and conventional financial markets are evident in system-wide connectedness. This study further evidenced that global factors drive the connectedness of financial markets, particularly during stressful times.Practical implicationsThe findings of this study furnish significant implications for policymakers, regulatory authorities, investors, financial market participants and portfolio managers in terms of carefully assessing the unique characteristics offered by each financial market in terms of risk mitigation and diversifying the portfolios.Originality/valueUsing a portfolio of green, Islamic and conventional financial markets, the uniqueness of this study lies in the examination of the connectedness of these markets by deploying the TVP-VAR technique. In addition, wavelet analysis offers a significant contribution in terms of global factors driving the connectedness of green, Islamic and conventional markets.

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Section: Introductionmentioning

confidence: 99%

“…Green assets are earmarked with a green label which ensures that proceeds of these investments are attributed to the projects solely related to energy efficiency, material efficiency, clean and green transportation and recycling (Arif et al. , 2021a; Lobato et al. , 2021; Ferrat et al , 2022; Ielasi et al.…”

Section: Introductionmentioning

confidence: 99%

Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

Karim

Naeem

2022

IJMF

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“…This role of promoting energy innovation and market stability through financial means has also been confirmed in many scholars' studies (Kaiser and Welters, 2019;Naqvi et al, 2021;Taghizadeh-Hesary et al, 2021;Umar et al, 2021;Karim et al, 2022). The advantages of these financial instruments and the promotion of corporate social responsibility awareness (Ielasi et al, 2018;Ferrat et al, 2021;Lobato et al, 2021;Dorfleitner and Grebler, 2022), which can well match China's current development goals and become an important replacement and supplement of command-based environmental regulation policies (Ji et al, 2021).…”

Section: Literaturementioning

confidence: 79%

How the carbon emissions trading system affects green total factor productivity? A quasi-natural experiment from 281 Chinese cities

2023

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China’s emissions trading system is often cited as a model for developing countries using market-based means to solve pollution problems, but few have objectively assessed the solution from a productivity perspective. Therefore, in this study, the green total factor productivity (GTFP) of 281 prefecture-level cities was calculated by using the DEA–Malmquist method, and the policy effects were evaluated by setting up quasi-natural experiments. The results show that the carbon emissions trading system has a positive contribution to GTFP; when facing a more compatible carbon trading system, enterprises will choose two paths: innovation compensation and industrial upgrading to improve GTFP, so as to get rid of the cost constraints caused by carbon emission control; the policy effect of the carbon emissions trading system varies significantly in different regions. In the economically developed eastern region, the effect of policy implementation is relatively significant, while the effect of policy implementation in the western region is not significant. Further analysis shows that as a market-based environmental policy, the incentive effect of the carbon trading system relies on a perfect market system. This study provides empirical evidence and policy enlightenment for developing countries to build and improve the emissions trading system.

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“…A group of scholars (e.g. Fang et al, 2022;Dorfleitner and Grebler, 2022;Yu et al, 2022;Lobato et al, 2021;Umar et al, 2021a, b, c, d;Kaiser and Welters, 2019;Lelasi et al, 2018) believe that green finance instruments can be considered a great opportunity to improve energy efficiency projects, while numerous previous studies have not found significant impacts of this type of financing on green projects. Cui et al (2020) conducted a multi-agent theory game and noticed the neutrality of green finance market.…”

Section: Literature Reviewmentioning

confidence: 99%

Analyzing the green financing and energy efficiency relationship in ASEAN

Quang

Thao

2022

JRF

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PurposeThe need to improve energy efficiency as an essential factor for achieving the Sustainable Development Goals (SDGs) through green financing is one of the most important issues worldwide. It is even more important for ASEAN (Association of Southeast Asian Nations) countries because of their potential for economic growth and the challenge of their environmental problems. This paper therefore addresses the question of whether and how green finance (with the proxy of issued green bonds [GBs]) promotes energy efficiency (with the proxy of energy intensity) in the ASEAN member countries.Design/methodology/approachThe paper runs a two-stage generalized method of moments (GMM) system model for the quarterly data over the period 2017–2020. It also uses a linear interaction model to explore how the pandemic may affect the relationship between green finance and energy efficiency in this region.FindingsThe main results only demonstrate the short-term negative impact of GBs on energy intensity. Furthermore, per capita income, economic integration and renewable energy supply can be used as potential variables to reduce energy intensity, while modernization in ASEAN increases energy intensity. Establishment of digital green finance, long-term planning of a green finance market, trade liberalization and policies to mitigate the negative impacts of COVID-19 are recommended as golden policy implications.Research limitations/implicationsThe present study has several limitations. First, it accounts for explanatory variables by following a number of previous studies. This may lead to omissions or errors. Second, the empirical estimates were conducted for 160 observations due to the repositioning of GBs in ASEAN, which is not bad but not good for an empirical study.Originality/valueTo the best of authors' knowledge, there has not been any in-depth study focusing on the relationship between energy efficiency and green financing for the case of ASEAN economies.

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A volatility-match approach to measure performance: the case of socially responsible exchange traded funds (ETFs)

Cited by 61 publications

References 21 publications

Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

How the carbon emissions trading system affects green total factor productivity? A quasi-natural experiment from 281 Chinese cities

Analyzing the green financing and energy efficiency relationship in ASEAN

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