How reactive is investment in US green bonds and ESG-eligible stocks in times of crisis? Exploring the COVID-19 crisis

Perote, Javier; Vicente‐Lorente, José David; Zúñiga‐Vicente, José Ángel

doi:10.1016/j.frl.2023.103638

Finance Research Letters

2023

DOI: 10.1016/j.frl.2023.103638

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How reactive is investment in US green bonds and ESG-eligible stocks in times of crisis? Exploring the COVID-19 crisis

Javier Perote

José David Vicente‐Lorente

José Ángel Zúñiga‐Vicente

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Cited by 14 publications

References 39 publications

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ESG Meets DeFi: Exploring Time‐Varying Linkages and Portfolio Implications

Ali,

Youssef,

Umar

et al. 2024

Int. J Fin Econ

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This study delves into the connection between Environmental, Social and Governance (ESG) indices and emerging Decentralised Finance (DeFi) assets. Specifically, it explores the ever‐changing, frequency‐based linkage between these ESG indices and innovative DeFi assets. Employing the wavelet coherence technique, we analyse a broad range of ESG indices, spanning emerging, developed and US indices, alongside various DeFi assets. This examination covers a period encompassing the COVID‐19 pandemic and the Russian‐Ukrainian conflict to assess market linkages during extreme events. We then calculate optimal weights and hedge ratios for ESG‐DeFi asset pairs to evaluate portfolio implications. Wavelet analysis results frequently show no connection between ESG indices and DeFi assets, underscoring the diversification benefits of adding DeFi to an ESG portfolio. However, this relationship notably strengthens at the pandemic crisis's onset, indicating DeFi assets lose diversification potential during turbulent times. Portfolio allocation should mainly favour ESG indices during normal periods, with minimal variations in optimal weights pre‐ and post‐COVID. Meanwhile, hedge ratio analysis suggests DeFi assets make sound investments during crises, although hedging costs increase during turbulent periods. These findings hold relevance for investors, portfolio managers and policymakers.

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ESG Meets DeFi: Exploring Time‐Varying Linkages and Portfolio Implications

Ali,

Youssef,

Umar

et al. 2024

Int. J Fin Econ

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Impact of Global Risk Factors on the Islamic Stock Market: New Evidence from Wavelet Analysis

Kazak,

Saiti,

Kılıç

et al. 2024

Comput Econ

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The emergence of Islamic finance as an alternative financial investment area and the increasing political and economic uncertainty around the world necessitated an examination of the relationship between these two factors. This study examines the impact of four important global uncertainty and risk indicators “Global Economic Policy Uncertainty-GEPU, Geopolitical Risk Index-GPR, World Uncertainty Index-WUI, and CBOE Volatility Index-VIX” on two important Islamic stock market indices (Dow Jones Islamic Market Index and Bist Participation 100) using wavelet coherence (WTC) and asymmetric Fourier TY analyzes Quarterly data for the period March 2011–June 2023 were used in the study. The results of the analysis show that economic instability indicators impact Islamic equity market indices (both in Turkey and the world). This effect is determined as VIX, GEPU, GPR, and WUI. In addition, the fact that the GPR and WUI indices, which have an impact on conventional markets, have truly little and only a partial impact on Islamic equity markets is an important finding. The results of this study make important contributions to the literature and provide important findings for investors and policy makers.

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RETRACTED ARTICLE: Is green finance a motivator for energy transformation investments in the OECD?

Xu,

Cai

2024

Econ Change Restruct

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How reactive is investment in US green bonds and ESG-eligible stocks in times of crisis? Exploring the COVID-19 crisis

Cited by 14 publications

References 39 publications

ESG Meets DeFi: Exploring Time‐Varying Linkages and Portfolio Implications

ESG Meets DeFi: Exploring Time‐Varying Linkages and Portfolio Implications

Impact of Global Risk Factors on the Islamic Stock Market: New Evidence from Wavelet Analysis

RETRACTED ARTICLE: Is green finance a motivator for energy transformation investments in the OECD?

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