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Publication
Dynamic linkage between environmental segments of stock markets: the role of global risk factors
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| 1.84 MB | Adobe PDF |
Advisor(s)
Abstract(s)
This study evaluates the links between representative indices of
companies with high environmental performance and the
propensity of such indices to economic and financial shocks. Five
indices, representing environmental segments and four global
macroeconomic and financial variables, were analyzed over a
thirteen-year period, which included various crisis moments, such
as the sovereign debt crisis, the COVID-19 pandemic and the
onset of the Russia/Ukraine conflict. Using dynamic and nonlinear
models, our research reveals statistically significant and consistent
relationships between the variables under investigation,
particularly during periods of global financial and pandemic
crises. The analysis revealed that the VIXCLS is the most
influential global risk factor, with certain risk factors being
influenced by environmental segments, particularly Alternative
Energy. This influence can create conditions conducive to
contagion risk and diminish the benefits of portfolio
diversification. This study contributes to a deeper understanding
of the connection between environmental investments and their
vulnerability to significant global events and risks.
Description
Keywords
connectivity crisis periods DCC-GARCH environmental investment portfolio diversification transfer entropy