ESG ETF 在 COVID-19 市场暴跌中的回报行为:绿色基金是否更具弹性?

IF 0.9 Q3 BUSINESS, FINANCE
Mona A. ElBannan
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引用次数: 0

摘要

本研究探讨了环境、社会和治理(ESG)绩效在解释 COVID-19 大流行病引发的市场崩溃期间交易所交易基金(ETF)收益和收益波动的重要性。该研究使用了 2005-2021 年期间 160 个 iShares 摩根士丹利资本国际常规和 ESG/社会责任投资(SRI)股票基金多样化样本的非平衡面板月度数据。为了获得稳健的结果,我们进行了多种分析,包括基于单向聚类的多重面板回归、从异方差和自相关一致的不同协方差矩阵估计器获得的标准误差估计、同步量纲回归和量纲间回归、对回归系数采用替代权重的加权最小二乘法回归,以及在子样本回归中采用引导差标准误差检验系数是否相等。所有的敏感性分析都得出了相似的结果,证实了其有效性。研究结果为可持续基金在暴跌期间的抗跌性提供了有力证据,ETF 收益在市场低迷期间表现出持续性。这项研究表明,ESG/SRI 投资可能有助于 ETF 超越同类基金,表明可持续投资在危机时期非常重要,并意味着应采取促进可持续投资发展的策略。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Returns behavior of ESG ETFs in the COVID-19 market crash: Are green funds more resilient?

This study explores the importance of environmental, social, and governance (ESG) performance in explaining the returns and volatility of returns of exchange-traded funds (ETFs) during the market crash induced by the COVID-19 pandemic. The study uses an unbalanced panel of monthly data during the period 2005–2021 for a diversified sample of 160 iShares Morgan Stanley Capital International conventional and ESG/socially responsible investment (SRI) equity funds. To obtain robust results, a variety of analyses are conducted, including multiple panel regressions based on one-way clustering, standard error estimates obtained from different covariance matrix estimators that are heteroskedasticity and autocorrelation consistent, simultaneous quantile and inter-quantile regressions, weighted least square regressions with alternative weights for the regression coefficients, and tests of coefficient equality with bootstrapped standard error of difference in subsample regressions. All the sensitivity analyses give similar results, confirming their validity. The results provide strong evidence for the resilience of sustainable funds during the crash, with ETF returns showing persistence during the market downturn. This study suggests that ESG/SRI investments may help ETFs to outperform their counterparts, indicates that sustainability investments matter in times of crisis, and implies the adoption of strategies that promote sustainable investment development.

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来源期刊
CiteScore
2.30
自引率
7.10%
发文量
69
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