Do Short‐ and Long‐Term Environmental Investments Follow the Same Path?

Abstract

The degree of connection and integration between stock market indices is crucial to identifying the potential benefits associated with international diversification. However, there have been no findings on relationships between sustainability indices. The present study analyses the existence of equilibrium between short-and long-term environmentally sustainable investments through Johansen cointegration tests and based on a model of asymmetric multivariate conditional heteroscedasticity. We selected indices for five segments of environmental investment (alternative energy, clean technology, green building, sustainable water, and pollution prevention) and applied a time period of roughly nine years. The obtained results show that over the long term, the indices' behaviour is autonomous, creating opportunities to diversify investment. Over the short term, environmental segments exhibit similar behaviour, approaching behaviours described by conventional indices.

Understanding variation in the relationship between environmental management practices and firm performance across studies: A meta‐analytic review

“…Investment in EMPs allow a firm to pursue short‐term as well as long‐term benefits (de Sousa Gabriel & Rodeiro‐Pazos, ; Wu, Subramanian, Abdulrahman, Liu, & Pawar, ). The degree of long‐term orientation may affect the firm's preferences regarding current and future benefits.…”

Connectedness between low carbon portfolios, economy and finance: the role of pandemic crisis and Ukrainian war

“…Although the financial sector has made important changes to respond to the challenges of sustainability involving investors, regulators and academics, scientific research on the subject of connectivity between indices representing sustainable investment has not been prominent, with that research concentrating on three fundamental areas: comparing the performance of sustainable and traditional assets (Climent and Soriano, 2011; Martínez-Ferrero and Frías-Aceituno, 2015; Oikonomou et al , 2018); effect on firms’ capitalization generated by the environmental, social and governance dimensions (Li et al , 2018; Fatemi et al , 2018); and analysis of the connectivity and transmission of information between sustainable indices (Gabriel and Pazos, 2017, 2018; Reboredo and Ugolini, 2020). …”

“…analysis of the connectivity and transmission of information between sustainable indices (Gabriel and Pazos, 2017, 2018; Reboredo and Ugolini, 2020).…”

“…Although some research has focused on studying the transmission of contagion between segments of sustainable investment and traditional investment and compared the performance of both investment segments (see, for example, Kenourgios et al , 2016; Hkiri et al , 2017; Gabriel and Pazos, 2017, 2018; Umar et al , 2020a, 2020b), on the one hand, the connectivity between indices representing the low carbon economy needs study in greater depth and, on the other hand, no research is found that focuses on magnitude and direction spillovers generated between low carbon indices, representing different geographies and at the same time studying the transmission of information through macro-economic and financial channels.…”

Corporate economic performance and sustainability indices: a study based on the Dow Jones Sustainability Index

“…And therefore, may have gained successful product or service differentiation in the marketplace and thus be more profitable (Spitzeck and Chapman 2012 ; Danso et al 2019 ). The question is then more specifically in the context of investment managers considering sustainability indices to invest in to diversify their portfolio’s risk (Balcilar et al 2017 ; Sousa et al 2018 ). We intend on examining the financial impact of inclusion/exclusion into sustainability indices and concluding whether there is any financial risk in investing into companies that take part in DJSI index.…”