Time-varying Connectedness Between ESG Stocks and BRVM Traditional Stocks

IF 1.2 Q3 BUSINESS, FINANCE
Zynobia Barson, Kwame Simpe Ofori, Peterson Owusu Junior, Kwabena G. Boakye, George Oppong Appiagyei Ampong
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引用次数: 0

Abstract

Periods of crisis prompt investors to look out for means of making returns even in uncertain market conditions. Investors are using stocks selected on an environmental, social, and governance (ESG) basis to mitigate the unavoidable risks of investing in assets during these times of pandemic and war. In an integrated global financial system, we sought to explore the connectedness, if any, between the returns on the Bourse Régionale des Valeurs Mobilières (BRVM) and ESG-based stocks. Using a time-varying parameter vector autoregression (TVP-VAR) to analyze daily returns from 12 March 2013 to 4 April 2022, we find categorically that ESG-based stocks and BRVM stocks are connected, with ESG-based stocks dominating the network connectedness. Furthermore, using dynamic connectedness correlations from dynamic conditional correlation generalized autoregressive conditional heteroscedasticity (DCC-GARCH), we show that ESG stocks could be used as a safe haven or weak hedge for BRVM stocks in times of crisis. We test for the robustness of our findings using quantile causality. The causality test further shows that ESG-based stocks cause movements in BRVM stocks mostly at the lower quantiles—enhancing the findings of dominancy from the TVP-VAR estimates and offer diversification and safe haven benefits from the DCC-GARCH in extreme conditions. The implication of these findings for investors is that they could benefit from using ESG-based stocks in their portfolios, particularly in times of crisis.JEL Codes: G01, G11
ESG 股票与 BRVM 传统股票之间的时变关联性
危机时期促使投资者寻找即使在不确定的市场条件下也能获得收益的方法。投资者正在使用以环境、社会和治理(ESG)为基础选择的股票,以降低在这些大流行病和战争时期投资资产不可避免的风险。在一个一体化的全球金融体系中,我们试图探索 Bourse Régionale des Valeurs Mobilières(BRVM)的收益率与基于 ESG 的股票之间的联系(如果有的话)。通过使用时变参数向量自回归(TVP-VAR)分析 2013 年 3 月 12 日至 2022 年 4 月 4 日的每日收益率,我们发现 ESG 类股票与 BRVM 股票之间存在明显的关联性,其中 ESG 类股票在网络关联性中占主导地位。此外,利用动态条件相关广义自回归条件异方差(DCC-GARCH)的动态连通性相关性,我们发现 ESG 类股票在危机时期可作为 BRVM 类股票的避风港或弱对冲工具。我们利用量子因果关系检验了研究结果的稳健性。因果关系检验进一步表明,ESG 类股票主要在较低的量级引起 BRVM 类股票的变动--这增强了 TVP-VAR 估计结果的支配性,并在极端条件下提供了 DCC-GARCH 的多样化和避险优势。这些发现对投资者的启示是,在投资组合中使用基于环境、社会和公司治理的股票可以使投资者受益,尤其是在危机时期:G01, G11
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来源期刊
CiteScore
1.80
自引率
33.30%
发文量
19
期刊介绍: The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.
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