Safe-haven properties of green bonds for industrial sectors (GICS) in the United States: Evidence from Covid-19 pandemic and Global Financial Crisis

The Covid-19 pandemic unfolds the vulnerability of financial markets at the time of rare disasters. To hedge the mean-dependent risk, investors rely upon traditional assets such as gold;however, the tail-dependent risk, especially during market turbulence, considerably dampened the hedging effectiveness. On the contrary, green bonds emphasize sustainable investment in the long term and have become an inevitable tool to hedge against financial risks, and climate risks, and rare disasters. Thus, this study explores the hedging and safe haven aspects of the bullish market of green bonds against bearish markets of industry sectors across the United States (U.S.) over the period of 1st January 2008 to 7th May 2021, including the Global Financial Crisis and the Covid-19 pandemic. The findings of cross-quantilogram analysis disclose that green bonds reap diversification benefits during overall market conditions as well as market turmoil, hence confirm the safe-haven behavior of green bonds. Furthermore, our results disclose that the potential role of investment in green bonds can reboot the economy without affecting low-carbon transition targets. © 2023 Elsevier Ltd

Systemic risk contagion of green and Islamic markets with conventional markets.

Financial markets are exposed to extreme uncertain circumstances escalating their tail risk. Sustainable, religious, and conventional markets represent three different markets with various characteristics. Motivated with this, the current study measures the tail connectedness between sustainable, religious, and conventional investments by employing a neural network quantile regression approach from December 1, 2008 to May 10, 2021. The neural network recognized religious and conventional investments with maximum exposure to tail risk following the crisis periods reflecting strong diversification benefits of sustainable assets. The Systematic Network Risk Index spots Global Financial Crisis, European Debt Crisis, and COVID-19 pandemic as intensive events yielding high tail risk. The Systematic Fragility Index ranks the stock market in the pre-COVID period and Islamic stocks during the COVID sample as the most susceptible markets. Conversely, the Systematic Hazard Index nominates Islamic stocks as the chief risk contributor in the system. Given these, we portray various implications for policymakers, regulatory bodies, investors, financial market participants, and portfolio managers to diversify their risk using sustainable/green investments.

Risk-return profile of environmentally friendly assets: Evidence from the NASDAQ OMX green economy index family.

The COVID-19 pandemic, geopolitical risks and net-zero targets have created not only pressures but incentives for energy investors. The renewable energy has become the largest energy sector and provided significant investment opportunities. However, companies operating in this sector are highly risky due to economic and political barriers. Therefore, it is of crucial importance for investors to properly assess the risk-return dynamics of these investments. This paper examines the risk-return characteristics of clean energy equities at a disaggregate level using a battery of performance metrics. The main results provide evidence of significant heterogeneity across clean energy sub-sectors; for instance, fuel cell and solar stocks display higher downside risks than the others, while the developer/operator equities are the least risky. The findings further provide evidence of higher risk-adjusted returns during the coronavirus pandemic; as an example, energy management companies appear to provide the highest risk-adjusted returns in the wake of the COVID-19. Comparing the performance with traditional sectors, clean energy stocks outperform certain sectors, including dirty assets. These findings offer important implications for investors, portfolio managers, and policy makers.

Resilient sustainable investment in digital education technology: A stakeholder-centric decision support model under uncertainty

Investment in education technology (EdTech) is a complex decision problem for universities during the post-Covid era. With the objective to assess the quality and adoptability of education supply chain, a novel analytical evaluation model approach is proposed, based on quality function deployment and combinative distance-based assessment. To deal with uncertainty in the evaluation process, fuzzy theory is integrated into the model. To establish the house of quality matrix, technology-based stakeholders' requirements were identified and classified in four dimensions: economic and financial, technology adoption, sustainability, competencies. Moreover, nine supplier criteria were assumed. Based on expert evaluations, the results suggest that financial credit and supplier collaboration are the most prominent attributes to evaluate suppliers, while environmental commitment is sorted as the least important criterion. The results reveal that the three dominant suppliers, which provide the best response to the identified criteria, are providers of cloud service technology. © 2022

Volatility And Tail Dependence Between Sustainable Stock Indices During The Covid-19 Pandemic

Motivation: The motivation behind the study was to analyze the risk of sustainable stock indices (SSIs) and their conventional peers during the COVID-19 health crisis. We wanted to check if SSIs were more resistant to market risk in the times of huge volatility as well as what the correlation between particular SSIs was and, similarly, between their conventional peers. Aim: The main objective of the study was to analyze volatility spillover among sustainability stock indices (SSIs) and their conventional peers during the COVID-19 health crisis. The authors analyze conditional volatility among SSIs, which was obtained from univariate GARCH-type models, and the tail dependence coefficient, which was derived from the Copula-GARCH models. The indices from FTSE4Good family for the USA, Europe and Japan markets together with their corresponding conventional indices have been chosen. Results: The research shows that during the COVID-19 health crisis SSIs were less volatile than their conventional peers. Moreover the relations between particular SSIs in most cases were weaker, whereas extreme observations which occurred were less concordant for conventional indices. It implies that the stability of sustainable stock indices from FTSE4good family is greater than for their conventional peers.

The role of uncertainties on sustainable stocks and green bonds

PurposeThis paper aims to investigate the relationship between sustainable investments and a series of uncertainties from January 2014 to December 2021, including many economic and political turbulences and the COVID-19 pandemic. Design/methodology/approachThe authors use Renyi's transfer entropy method, a nonparametric flexible tool that considers both the center distribution and lower quantiles, capturing extreme rare events that give additional insights to analysis. FindingsThe authors' results indicate significant bidirectional information transmissions between the crude oil volatility and sustainability indices. The authors report information flows between the cryptocurrency uncertainty and sustainability indices considering tail events. The results are essential for market participants making decisions during turbulent times. Originality/valueThis paper is carried out for a variety of uncertainty measures and environmental, social and governance (ESG) portfolios of both developed and developing markets. It adds to literature in terms of methodology used. Renyi's transfer entropy methodology is first used to measure the relationship between uncertainties and ESG investments.

Financial firm’s performance: a comparative analysis based on ESG metrics and net zero legislation

For stock market investors, it is difficult to choose where to allocate their financial resources;furthermore, sustainable investment has become a choice to ensure better financial performance (FP). This research proves that countries and companies lined up with climate change laws are better options for investing and mitigating risks. The sample of the study is based on a net zero emission criteria, so six countries were identified with approved legislation, and a comparison between the largest market cap firms of these countries and the largest market cap of the world (Benchmark) is made to analyze their FP during the COVID-19 first year. Furthermore, regression models were run to review which ESG factor is the most related to predicting the ESG combined score for the firms. The results show that the firms had a better performance than the Benchmark and that the social factor 'S' is the most correlated to the ESG combined score. The relevance of this article lies with the relevance of investing in companies aligned with net zero emissions laws since they contribute to improving the expected return even in a volatile era.

p Tackling covid-19 crisis through energy efficiency investments: Decision support tools for economic recovery

The covid-19 pandemic has unleashed unprecedented shocks across all aspects of society. Especially, the energy sector is in no exception, with concerns being raised about how governments and private sector will recover from the economic recession but continue working towards clean energy transition. Firm commitments and targeted energy efficiency (EE) investments are required. This study's aim is twofold;firstly, a review on the energy sector crisis with the critical role of EE investments and the investigation of available Decision Support (DS) tools to boost such recovery. The methodology followed by a review on strategically selected countries to capture their energy recovery needs and strategies. Results showed that EE investments will assist in countering pandemic recession, therefore, innovative DS tools and standardisation methods are required. However, hardly any tool exists identifying sustainable investments with strong potential to meet their commitments. The Triple-A Horizon 2020 standardised tools are considered to play critical role enabling EE projects to get financed towards assessing the EE investments' risks.