The static and dynamic connectedness of environmental, social, and governance investments: International evidence

Umar, Zaghum; Kenourgios, Dimitris; Papathanasiou, Sypros

doi:10.1016/j.econmod.2020.08.007

Cited by 155 publications

(86 citation statements)

References 56 publications

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“…Thus, the methodology that we follow in our research is fairly robust and allows to account for non-linear price movements of agricultural commodities and crude oil, as well as for bi-directional influences between them. This framework is extensively used in financial time series analysis including equities, fixed income securities, exchange rates, commodity markets [ 24 ]. In our methodology, the connectedness appears not just as a result of a mutual reliance of SVAR variables on one another; in parallel we account for interdependencies of shocks, observed in prices of crude oil and agricultural commodities.…”

Section: Introductionmentioning

confidence: 99%

Return and volatility transmission between oil price shocks and agricultural commodities

et al. 2021

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This paper studies the connectedness between oil price shocks and agricultural commodities. Our sample period ranges from January 2002 to July 2020, covering the three global crises; Global Financial Crisis, the European sovereign debt crisis and Covid-19 pandemic crisis. We employ Granger causality tests, and the static and dynamic connectedness spillover index methodology. We find that the shocks in oil prices are Granger-caused mainly by price changes of grains, live cattle, and wheat, while supply shock granger causes variations mostly in grain prices. We find that, from the point of view of static connectedness, for both, price and volatility spillovers, the livestock is the largest transmitter, while the lean hogs are the major receiver. Our dynamic analysis evidences that connectedness increases during the financial crisis period. Our results are potentially useful for investors, portfolios managers and policy makers.

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Section: Introductionmentioning

confidence: 99%

Return and volatility transmission between oil price shocks and agricultural commodities

et al. 2021

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“… 6 See, for example, the recent works of Clements and Liao ( 2020 ), Fang et al ( 2020 ), Cipollini and Mikaliunaite ( 2020 ), Balcilar et al ( 2020 ), Hsu et al ( 2020 ), Zhang and Wang ( 2020 ), Umar et al ( 2020 ). …”

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confidence: 99%

Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies

Aharon

Umar

2021

Financ Innov

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This study examines the connectedness between the US yield curve components (i.e., level, slope, and curvature), exchange rates, and the historical volatility of the exchange rates of the main safe-haven fiat currencies (Canada, Switzerland, EURO, Japan, and the UK) and the leading cryptocurrency, the Bitcoin. Results of the static analysis show that the level and slope of the yield curve are net transmitters of shocks to both the exchange rate and its volatility. The exchange rate of the Euro and the volatility of the Euro and the Canadian dollar exchange rate are net transmitters of shocks. Meanwhile, the curvature of the yield curve and the Japanese Yen, Swiss Franc, and British Pound act mainly as net receivers. Our static connectedness analysis shows that Bitcoin is mainly independent of shocks from the yield curve’s level, slope, and curvature, and from any main currency investigated. These findings hint that Bitcoin might provide hedging benefits. However, similar to the static analysis, our dynamic analysis shows that during different periods and particularly in stressful times, Bitcoin is far from being isolated from other currencies or the yield curve components. The dynamic analysis allows us to observe Bitcoin’s connectedness in times of stress. Evidence supporting this contention is the substantially increased connectedness due to policy shocks, political uncertainty, and systemic crisis, implying no empirical support for Bitcoin’s safe-haven property during stress times. The increased connectedness in the dynamic analysis compared with the static approach implies that in normal times and especially in stressful times, Bitcoin has the property of a diversifier. The results may have important implications for investors and policymakers regarding their risk monitoring and their assets allocation and investment strategies.

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“…Thus, as follows from the above, the publications on investment for sustainable development and in the age of globalization consider investments and investment processes not only in the view of financial models calculating returns on invested capital but also in the view of environmental, social, administrative and legal (managerial) factors. In particular, nonfinancial attributes are believed to have greater influence on investments (investment processes) [16].…”

Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

Investment attractiveness of enterprise and sustainable development of industrial region

Alexandrov

Skvortsova

2021

E3S Web Conf.

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In accordance with the Russian Federation consistent transition to sustainable development, which material basis consists in not so much quantitative but rather qualitative transformations in the factors of real economy production, the authors hereby focus on the regional aspect of territorial entity environments affecting favorably the investment attractiveness of industrial enterprises. Special attention is paid to the fact that following the sustainable development paradigm implies a balanced solution of economic, social and environmental problems. The conceptual considerations presented are taken as the basis for an original universal method to diagnose and assess restrictions, threats, and challenges of an economic, administrative and legal, resource and technical, social and environmental nature that occur at the regional level and affect the investment attractiveness of enterprises. In practice, the approach considers the diagnostics possibility to develop, firstly, specific measures to offset or reduce the negative impacts determining the investment attractiveness of regional investment objects and, secondly, motivational and stimulating measures to resolve the conflicts arising due to environmental and social restrictions on economic activity in order to ensure, as we move towards sustainable development, a balanced solution to three tasks: ensuring economic growth, achieving social progress, and improving the quality of the environment.

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The static and dynamic connectedness of environmental, social, and governance investments: International evidence

Cited by 155 publications

References 56 publications

Return and volatility transmission between oil price shocks and agricultural commodities

Return and volatility transmission between oil price shocks and agricultural commodities

Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies

Investment attractiveness of enterprise and sustainable development of industrial region

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