Impact of macroeconomic variables on sustainability indices using ARDL model

Differential impacts of COVID-19 on Indian sectors: Resilience of pharmaceuticals and automobiles, contrasting with negative effects on IT and real estate - An ARIMA-GARCH analysis

“…The influence of macroeconomic variables on developing stock indices is asymmetrical. (Sharma et al, 2023) economic circumstances have a large effect on sustainability ratings. In particular, they find that industrial production, the money supply, and crude oil prices all positively affect sustainability measures, while interest rates have a negative effect.…”

Impact of crude oil volatility jumps on sustainable investments: Evidence from India

“…In line with Tiwari et al (2018), Dutta, Bouri, Dutta et al (2021), and Dutta, Bouri, and Roubaud (2021), this study also considers the S&P BSE GREENEX and S&P BSE CARBONEX indexes to study the equity prices of socially responsible firms in India. These indexes track the performance of those organizations which are engaged in an ecofriendly business and/or pursuing a product or service that is beneficial for the environment, such as sustainable energy, energy efficiency, recycling, and waste management, or water management (Dutta, Bouri, Dutta, et al, 2021; Dutta, Bouri, & Roubaud, 2021; Sharma et al, 2021). For comparison purposes, we also employ the S&P BSE OIL and GAS index in this research, representing the dirty index (see Bouoiyour et al, 2022; Saeed et al, 2021).…”

“…However, despite the growing interest in sustainable investing in India, the literature on green assets is rather scarce. Notable contributions include Tiwari et al (2018), Dutta, Bouri, Dutta et al (2021), Sharma et al (2021), Shanmugam et al (2022), and Jadiyappa and Krishnankutty (2022). For instance, Tiwari et al (2018) find that green sectors react significantly to asymmetric oil price impacts.…”

“…Dutta, Bouri, Dutta et al (2021) show that energy and precious metal markets send volatility to Indian green sector equity markets amid high uncertainty. Applying the autoregressive distributed lag (ARDL) process, Sharma et al (2021) document that prices of green stocks are sensitive to a number of macroeconomic variables, including industrial production, wholesale price index, economy money supply, crude oil prices, and real effective exchange rate. More recently, Jadiyappa and Krishnankutty (2022) analyzed the effects of green operations (measured using the energy intensity of its operations) on the value of corporate firms in stock markets.…”

“…Second, while prior studies (e.g., Dutta, Bouri, Dutta, et al, 2021; Sharma et al, 2021; Tiwari et al, 2018) explain the impact of oil price changes or oil volatility shocks on green equities within the sample only, this study investigates how accurately OVX or its jumps can forecast the realized volatility (RV) of these assets out of the sample. In addition, the current work also evaluates the sensitivity of green stocks to different volatility components realized over different time horizons.…”