ESG leaders and crypto currency market: Asymmetric TVP-VAR connectedness and investment approaches

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-02-21 DOI:10.1016/j.ribaf.2025.102833

Rashida Bibi , Saqib Gulzar , Syed Jawad Hussain Shahzad

{"title":"ESG leaders and crypto currency market: Asymmetric TVP-VAR connectedness and investment approaches","authors":"Rashida Bibi , Saqib Gulzar , Syed Jawad Hussain Shahzad","doi":"10.1016/j.ribaf.2025.102833","DOIUrl":null,"url":null,"abstract":"<div><div>This study investigates return spillovers between a global Environmental, Social, and Governance (ESG) leaders index and cryptocurrencies. We employ daily data over the sample period 11 November 2017–30 December 2023 and use asymmetric dynamic connectedness via the time-varying vector autoregression (TVP-VAR) model to examine positive and negative connectedness. We also use dynamic portfolio exercise through common hedging approaches namely minimum variance, minimum correlation, and minimum connectedness portfolio to evaluate the performance of resulting portfolios. Results demonstrate that negative connectedness dominates throughout the sample period. This finding implies that risk-averse investors and profit-maximizing agents are more influenced by negative news. The results are robust to different methodological choices i.e., lag order based on different information criteria and forecast horizons. Further, the minimum correlation and minimum connectedness portfolio approaches depict the asymmetry well and provide a deeper awareness about portfolio management.</div></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":"76 ","pages":"Article 102833"},"PeriodicalIF":6.3000,"publicationDate":"2025-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Research in International Business and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0275531925000893","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

Abstract

This study investigates return spillovers between a global Environmental, Social, and Governance (ESG) leaders index and cryptocurrencies. We employ daily data over the sample period 11 November 2017–30 December 2023 and use asymmetric dynamic connectedness via the time-varying vector autoregression (TVP-VAR) model to examine positive and negative connectedness. We also use dynamic portfolio exercise through common hedging approaches namely minimum variance, minimum correlation, and minimum connectedness portfolio to evaluate the performance of resulting portfolios. Results demonstrate that negative connectedness dominates throughout the sample period. This finding implies that risk-averse investors and profit-maximizing agents are more influenced by negative news. The results are robust to different methodological choices i.e., lag order based on different information criteria and forecast horizons. Further, the minimum correlation and minimum connectedness portfolio approaches depict the asymmetry well and provide a deeper awareness about portfolio management.

查看原文本刊更多论文

求助全文

约1分钟内获得全文求助全文

来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance