liu.seSearch for publications in DiVA
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
ESG investment: What do we learn from its interaction with stock, currency and commodity markets?
Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
Univ Newcastle, Australia.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences. Trinity Coll Dublin, Ireland.
Show others and affiliations
2022 (English)In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 27, p. 3623-3639Article in journal (Refereed) Published
Abstract [en]

This paper examines ESG portfolios causal relationship with conventional and ethical equity prices, exchange rates and commodity prices. Using multi-scale wavelet decomposition, asset returns are decomposed into three timescales (short-, medium- and long-term), and a three-step filtered framework is used to explore dynamic non-linear linkages. We document significant bidirectional causal relationship between ESG, conventional and ethical equity portfolio returns. While the causality persists from the short- to medium-term, it is relatively weaker in the long-term. We further observe statistically significant causality running from ESG portfolio returns to currency and commodity returns. This causality is strongest in the short-term, turns weaker in the medium-term and, in some instances, disappears in the long-term. These results are generally robust for the use of original returns and VAR-filtered returns. However, as we control for conditional heteroskedasticity in the return series, the causality appears weaker particularly between ESG portfolio and commodity returns. Our results have important implications for planning portfolio allocation and devising hedging and diversification strategies.

Place, publisher, year, edition, pages
WILEY , 2022. Vol. 27, p. 3623-3639
Keywords [en]
asset class; ESG; Granger causality; investment horizon; non‐ linear
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-172242DOI: 10.1002/ijfe.2341ISI: 000595871000001OAI: oai:DiVA.org:liu-172242DiVA, id: diva2:1512951
Available from: 2020-12-28 Created: 2020-12-28 Last updated: 2022-10-24

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full text

Search in DiVA

By author/editor
Andersson, EmilHoque, MahimUddin, Gazi Salah
By organisation
Department of Management and EngineeringFaculty of Arts and SciencesEconomics
In the same journal
International journal of finance and economics
Economics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 283 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf