Understanding dynamic return connectedness and portfolio strategies among international sustainable exchange-traded funds

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling Pub Date : 2024-08-30 DOI:10.1016/j.econmod.2024.106864

Danyang Xu , Shaen Corbet , Chunlin Lang , Yang Hu

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引用次数: 0

Abstract

The rapid growth of sustainable investing has led to the global expansion of environmental, social, and governance (ESG) investment products. Existing literature on sustainable investing focuses primarily on corporate social responsibility theory and risk assessment, with relatively little research on ESG investment value and portfolio strategies. Using data from six worldwide ESG exchange-traded funds (ETFs) between 2020 and 2023, we examine return connectedness and portfolio performance by employing a time-varying parameter vector autoregressive (TVP-VAR) and portfolio approaches. The findings reveal that European ETF plays a dominant role in the worldwide ESG system due to the market size and market maturity. Specifically, the European ETF can substantially reduce portfolio volatility. Moreover, the results show that minimum variance and risk-parity portfolios outperform the other portfolio strategies during periods of geopolitical turmoil. These results provide valuable insights for improving the resilience of ESG markets and enhancing sustainable investment strategies.

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了解国际可持续交易所交易基金的动态回报关联性和投资组合策略

可持续投资的快速发展带动了环境、社会和治理（ESG）投资产品在全球范围内的扩张。关于可持续投资的现有文献主要集中在企业社会责任理论和风险评估方面，对 ESG 投资价值和投资组合策略的研究相对较少。利用 2020 年至 2023 年期间全球六种 ESG 交易所交易基金（ETF）的数据，我们采用时变参数向量自回归（TVP-VAR）和投资组合方法研究了回报关联性和投资组合表现。研究结果表明，由于市场规模和市场成熟度，欧洲 ETF 在全球 ESG 系统中发挥着主导作用。具体而言，欧洲 ETF 可以大幅降低投资组合的波动性。此外，研究结果表明，在地缘政治动荡时期，最小方差和风险均等投资组合的表现优于其他投资组合策略。这些结果为提高 ESG 市场的弹性和加强可持续投资策略提供了宝贵的见解。

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来源期刊

Economic Modelling ECONOMICS-

CiteScore

8.00

自引率

10.60%

发文量

295

期刊介绍： Economic Modelling fills a major gap in the economics literature, providing a single source of both theoretical and applied papers on economic modelling. The journal prime objective is to provide an international review of the state-of-the-art in economic modelling. Economic Modelling publishes the complete versions of many large-scale models of industrially advanced economies which have been developed for policy analysis. Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished. As individual models are revised and updated, the journal publishes subsequent papers dealing with these revisions, so keeping its readers as up to date as possible.