Hedging climate risk: The role of green energy exchange-traded funds

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-04-11 DOI:10.1016/j.ribaf.2025.102899

Libo Yin, Jier Zhang, Wensheng Wang, Hong Cao

引用次数: 0

Abstract

This study identifies the hedging role of green energy ETF (GETF) funds on climate risk. By employing the “bag-of-words” approach to quantify the uncertainty of underlying ETF assets and mapping them to the ETF level, we find that China’s GETFs effectively hedge climate risk. Specifically, these hedging effects are particularly pronounced in portfolios constructed by opportunity and regulatory uncertainty, whereas those of physical uncertainty are negligible. Furthermore, this hedging capability is primarily in the short and medium terms and is associated with increased climate risk. Notably, GETFs perform excellently in environments with low levels of liquidity, volatility, and non-fundamental trading activities. Overall, owing to their risk-return profile, GETFs can be a rewarding alternative to BETFs for investors in hedging climate risk.

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对冲气候风险：绿色能源交易所交易基金的作用

本研究确定了绿色能源ETF （GETF）基金对气候风险的对冲作用。通过使用“词袋”方法量化ETF基础资产的不确定性，并将其映射到ETF层面，我们发现中国的GETFs有效地对冲了气候风险。具体来说，这些对冲效应在由机会和监管不确定性构成的投资组合中尤为明显，而那些物理不确定性可以忽略不计。此外，这种对冲能力主要是短期和中期的，与气候风险的增加有关。值得注意的是，getf在流动性、波动性和非基本交易活动水平较低的环境中表现出色。总的来说，由于它们的风险回报特征，GETFs可以成为投资者对冲气候风险的betf的回报选择。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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