Do market conditions affect interconnectedness pattern of socially responsible equities?

被引：10

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

共 50 条

[31] ONTOLOGY OF SOCIALLY RESPONSIBLE INVESTING. APPLYING GLOBAL FRAMEWORKS FOR AN EMERGING MARKET IN RUSSIA
Atnashev, Timur
Vashakmadze, Teimuraz
Yousef, Amaf
INNOVATION, ENTREPRENEURSHIP AND SUSTAINABLE VALUE CHAIN IN A DYNAMIC ENVIRONMENT, 2015, : 193 - 215
[32] Testing the weak form of efficient market hypothesis for socially responsible and Shariah indexes in the USA
Khan, Abbas
Khan, Muhammad Yar
Khan, Abdul Qayyum
Khan, Majid Jamal
Rahman, Zia Ur
JOURNAL OF ISLAMIC ACCOUNTING AND BUSINESS RESEARCH, 2021, 12 (05) : 625 - 645
[33] Replication of the Warsaw Stock Exchange's Broad Equity Market with the WIG-ESG Socially Responsible Investment Index
Tomaszewski, Jacek
GOSPODARKA NARODOWA-THE POLISH JOURNAL OF ECONOMICS, 2024, 317 (01): : 60 - 72
[34] Do Socially Responsible Investment Policies Add or Destroy European Stock Portfolio Value?
Benjamin R. Auer
Journal of Business Ethics, 2016, 135 : 381 - 397
[35] Do socially responsible firms demand high-quality audits? An international evidence
Saeed, Asif
Gull, Ammar Ali
Rind, Asad Ali
Mubarik, Muhammad Shujaat
Shahbaz, Muhammad
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2022, 27 (02) : 2235 - 2255
[36] Socially responsible local firms and stock market participation: Evidence from the US household survey
Tsang, Albert
Yu, Li
JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE, 2023, 40
[37] HOW DO CONSUMERS PERCEIVE THE SOCIALLY RESPONSIBLE ACTIVITIES OF CORPORATIONS: AN EMERGING COUNTRY'S PERSPECTIVE
Altinbasak-Farina, Ipek
Guleryuz-Turkel, Gozde
PROCEEDINGS OF THE 4TH BUSINESS & MANAGEMENT CONFERENCE, ISTANBUL, 2016, : 1 - 16
[38] Mainstreaming socially responsible investment: Do environmental, social and governance ratings of investment funds converge?
Gangi, Francesco
Varrone, Nicola
Daniele, Lucia Michela
Coscia, Maria
JOURNAL OF CLEANER PRODUCTION, 2022, 353
[39] Do women on corporate boardrooms influence remuneration patterns and socially responsible practices? Malaysian evidence
Karim, Sitara
EQUALITY DIVERSITY AND INCLUSION, 2021, 40 (05): : 559 - 576
[40] Do socially (ir)responsible investments pay? New evidence from international ESG data
Auer, Benjamin R.
Schuhmacher, Frank
QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2016, 59 : 51 - 62

← 1 2 3 4 5 →