Do market conditions affect interconnectedness pattern of socially responsible equities?

被引：9

作者：

Naeem, Muhammad Abubakr ^{[1
,2
]}

Anwer, Zaheer ^{[3
]}

Khan, Ashraf ^{[4
]}

Paltrinieri, Andrea ^{[5
]}

机构：

[1] United Arab Emirates Univ, Coll Business & Econ, Econ & Finance Dept, POB 15551, Al Ain, U Arab Emirates

[2] Lebanese Amer Univ, Adnan Kassar Sch Business, Beirut, Lebanon

[3] Sunway Univ, Sunway Business Sch, Dept Econ & Finance, Bandar Sunway, Malaysia

[4] Ca Foscari Univ Venice, Dept Management, Venice, Italy

[5] Univ Cattolica Sacro Cuore, Milan, Italy

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2024年 / 93卷

关键词：

Socially responsible investing; Connectedness; Tail risk; Network analysis; INVESTMENT FUNDS; CONNECTEDNESS; PERFORMANCE; VOLATILITY; GOVERNANCE; RISK; SPILLOVER; NETWORK; TRENDS; ETHICS;

D O I：

10.1016/j.iref.2024.03.031

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We assess the interconnectedness pattern of sustainability leaders from United States market during stable, boom and crisis situations for the period 01-Oct-2005 to 31-May-2021 using Qian et al. (2020) methodology. The purpose is to assess the hedging properties of sustainable firms. We find that sampled firms exhibit high connectedness during tail events. Also, they offer hedge against the market conditions. Moreover, the small and growth-oriented firms contribute to the total connectedness for all market conditions. The sampled SRI network appears favorable for forming portfolio as the average connectedness is negative for all economic conditions.

引用

页码：611 / 630

页数：20

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