低碳投资组合、经济和金融之间的联系:流行病危机和乌克兰战争的作用

IF 3.1 Q2 BUSINESS
V. Gabriel, M. E. Neves, Elisabete S. Vieira, P. Reis
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引用次数: 1

摘要

目的这项工作的目的是研究股票市场指数之间产生的联系,这些指数代表了根据《2030年议程》中定义的可持续发展目标,专注于应对气候变化和几个全球风险因素的公司。考虑到低碳股票市场部门内部产生的溢出效应,以及后者面临的经济和金融性质的外部冲击,采用了内生视角。设计/方法论/方法这项工作使用了动态相关性的多变量模型(GARCH校正的动态条件相关性[cDCC]),它可以伴随随着时间的推移产生的相关性。研究结果考虑到在大约八年的时间里,代表世界各地的五个低碳指数以及四个全球宏观经济和金融变量,可以理解所研究的变量之间传递着统计上显著的溢出效应。疫情危机期间,信息传播过程急剧增加。还可以得出结论,一些全球变量是风险因素,在低碳指数的溢出效应中发挥着传递渠道的作用,增加了传染风险,降低了投资组合多样化的可能性。原创性/价值首先,本文分析了低碳指数之间的联系和溢出效应。其次,考虑涵盖不同市场阶段的扩展样本,特别是疫情危机和乌克兰战争的市场阶段,为比较这些指数之间的联系模式创造了条件。第三,研究了全球风险因素对低碳指数之间溢出传递的随时间变化的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Connectedness between low carbon portfolios, economy and finance: the role of pandemic crisis and Ukrainian war
Purpose The purpose of this work is to study the connections generated between stock market indices, representing firms whose practices focus on fighting climate change and several global risk factors in accordance with the sustainability objectives defined in the 2030 Agenda. An endogenous perspective is adopted, considering the spillovers generated within the low carbon stock market sector, as well as the latter’s exposure to exogenous shocks of an economic and financial nature. Design/methodology/approach This work uses a multivariate model of dynamic correlation (GARCH-corrected dynamic conditional correlation [cDCC]), which can accompany the correlations generated over time. Findings Considering five low carbon indices, representing various parts of the world, and four global macro-economic and financial variables, over a period of approximately eight years, it was possible to understand that the variables studied transmit between each other a statistically significant spillover. The period of the pandemic crisis shows a sharp increase in the information transmission process. It was also possible to conclude that some global variables are risk factors, performing the role of transmission channels for the spillover effects to low carbon indices, increasing the risk of contagion and reducing the possibilities of diversifying the investment portfolio. Originality/value Firstly, this work analyses the connection and spillover effects between low carbon indices. Secondly, considers an extended sample covering different market phases, particularly that of the pandemic crisis and the Ukrainian War, creating conditions to compare connection patterns between those indices. Thirdly, it studies the variable influence over time of global risk factors in the transmission of spillover between low carbon indices.
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来源期刊
CiteScore
5.60
自引率
18.80%
发文量
35
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