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IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-01-30 DOI:10.1016/j.najef.2025.102366

Mobeen Ur Rehman , Neeraj Nautiyal , Rami Zeitun , Xuan Vinh Vo

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引用次数: 0

摘要

本文基于 2016 年 3 月 8 日至 2021 年 6 月 11 日的每日数据，研究了社会责任投资（SRI）基金与石油冲击之间可能存在的收益相关性。根据 Ready（2018）的开创性工作，石油冲击在本质上可以是供应、需求或风险驱动的。我们采用了当代滚动窗口小波相关性方法，通过不同层次的分解来衡量石油冲击与 SRI 回报之间的相关程度。结果凸显了石油冲击对 SRI 回报的不同影响。更具体地说，需求冲击具有正向影响，而风险冲击则与 SRI 回报率呈负相关。相比之下，供应冲击的结果好坏参半。我们还注意到风险冲击对社会责任投资基金回报的因果效应。这项工作对在国际石油市场影响下遵循环境、社会和公司治理框架的投资者具有启示意义。

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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The temporal variability in the returns of socially responsible funds to structural oil shocks

In this paper, we investigate the potential presence of returns comovement between socially responsible investment (SRI) funds and oil shocks based on daily data from March 8, 2016 to June 11, 2021. According to the seminal work of Ready (2018), oil shocks can be supply-, demand-, or risk-driven in nature. We applied a contemporary rolling window wavelet correlation approach across various levels of decomposition to measure the degree of comovement between oil shocks and SRI returns. The results of this highlight the heterogeneous influence of oil shocks on SRI returns. More specifically, demand shocks have a positive influence, whereas risk shocks show a negative correlation with SRI returns. In contrast, the results for supply shocks are mixed. We also noted the causal effect of risk shocks on the returns of SRI funds. This work has implications for investors who follow the ESG framework under the influence of the international oil market.

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.