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Dynamic linkage between environmental segments of stock markets: the role of global risk factors

2024-04-26Journal article Open access
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dc.contributor.authorVítor Manuel de Sousa Gabriel
dc.contributor.authorDora Almeida
dc.contributor.authorAndreia Dionísio
dc.contributor.authorPaulo Ferreira
dc.date.accessioned2025-01-14T14:28:42Z
dc.date.available2025-01-14T14:28:42Z
dc.date.issued2024-04-26
dc.date.updated2024-04-26T13:10:28Z
dc.description.abstractThis 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.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1080/20430795.2024.2344525pt_PT
dc.identifier.slugcv-prod-4072891
dc.identifier.urihttp://hdl.handle.net/10400.26/53807
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.subjectconnectivitypt_PT
dc.subjectcrisis periodspt_PT
dc.subjectDCC-GARCHpt_PT
dc.subjectenvironmental investmentpt_PT
dc.subjectportfolio diversificationpt_PT
dc.subjecttransfer entropypt_PT
dc.titleDynamic linkage between environmental segments of stock markets: the role of global risk factorspt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.titleJournal of Sustainable Finance & Investmentpt_PT
rcaap.cv.cienciaid181D-7395-0348 | Dora Maria Fortes de Almeida
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT

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