乌克兰战争中可持续交易所交易基金之间的关联性：政治风险重要吗？

Q2 Social Sciences

International Social Science Journal Pub Date : 2024-02-16 DOI:10.1111/issj.12491

Vítor Gabriel, Carlos Pinho

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引用次数: 0

摘要

本文分析了地缘政治风险（GPR）与与联合国可持续发展目标（SDGs）相一致的交易所交易基金的几个部分之间的联系，以了解与战争、政治紧张局势和恐怖主义行为相关的风险对这类资产所产生的动态的影响。我们研究了代表 6 个可持续发展目标和 2 个全球风险报告指数的资产在约 14 年半时间内的行为，期间经历了几个市场阶段，特别强调了大流行病危机和乌克兰战争。通过基于多个多变量模型的动态分析，可以确定金融市场动荡阶段的溢出效应，特别是地缘政治威胁指数导致的可持续资产价格下行。所获得的结果有助于了解地缘政治威胁指数对可持续投资的影响，对不同的市场参与者都有意义。

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Connectedness between sustainable exchanged‐traded funds in the presence of the Ukrainian war: Does political risk matter?

This paper analyses the connectivity between geopolitical risk (GPR) and several segments of exchanged‐traded funds, aligned with the United Nations Sustainable Development Goals (SDGs), in order to understand the implications of risk associated with wars, political tensions and terrorist acts in the dynamics generated by this type of asset. We studied the behaviour of assets representative of 6 SDGs and 2 GPR indices, over a period of approximately 14 and a half years, characterized by several market phases, with special emphasis on the pandemic crisis and the war in Ukraine. Resorting to dynamic analysis, based on several multivariate models, it was possible to identify spillover effects in phases corresponding to turbulence in financial markets, in particular in the downward movements of prices of sustainable assets, generated from the geopolitical threat index. The results obtained are relevant for understanding the effect of GPR on sustainable investment, being of interest to various market actors.

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来源期刊

International Social Science Journal Social Sciences-Social Sciences (all)

CiteScore

1.90

自引率

0.00%

发文量

期刊介绍： The International Social Science Journal bridges social science communities across disciplines and continents with a view to sharing information and debate with the widest possible audience. The ISSJ has a particular focus on interdisciplinary and transdisciplinary work that pushes the boundaries of current approaches, and welcomes both applied and theoretical research. Originally founded by UNESCO in 1949, ISSJ has since grown into a forum for innovative review, reflection and discussion informed by recent and ongoing international, social science research. It provides a home for work that asks questions in new ways and/or employs original methods to classic problems and whose insights have implications across the disciplines and beyond the academy. The journal publishes regular editions featuring rigorous, peer-reviewed research articles that reflect its international and heterodox scope.