Connectedness between Sustainable Investment Indexes: The QVAR Approach

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dc.contributor.affiliationMarín-Rodríguez N.J., Grupo de Investigación en Ingeniería Financiera GINIF, Programa de Ingeniería Financiera, Facultad de Ingenierías, Universidad de Medellín, Medellin, 050026, Colombia
dc.contributor.affiliationGonzalez-Ruiz J.D., Grupo de Investigación en Finanzas y Sostenibilidad, Departamento de Economía, Facultad de Ciencias Humanas y Económicas, Universidad Nacional de Colombia—Sede Medellín, Medellin, 050034, Colombia
dc.contributor.affiliationBotero S., Departamento de Ingeniería de la Organización, Facultad de Minas, Universidad Nacional de Colombia—Sede Medellín, Medellin, 050034, Colombia
dc.contributor.authorMarín-Rodríguez N.J.
dc.contributor.authorGonzalez-Ruiz J.D.
dc.contributor.authorBotero S.
dc.date.accessioned2024-12-27T20:52:16Z
dc.date.available2024-12-27T20:52:16Z
dc.date.issued2024
dc.descriptionWe studied the relationship between sustainable investment indexes and examine whether this relationship varies in bullish, bearish, and stable financial markets. To understand this issue more deeply, we analyzed the connectedness between three indexes—the Sustainable Impact investments, Paris-aligned stocks, and green bonds indexes—using the daily closing prices from 1 June 2017 to 15 April 2024, encompassing 1793 observations. We used a quantile vector autoregressive (QVAR) model to understand the dynamic relationship among the considered indices. The findings indicate that sustainable investments are strongly interconnected in both high and low quantiles, but this connection weakens significantly during periods of market stability. The Sustainable Impact investments and Paris-aligned stocks indexes are net transmitters of impacts to other sustainable alternatives, while the green bonds index is a net receiver. We also observed an increase in interconnectedness across all quantiles during the pandemic, the Russia–Ukraine military conflict, and changes in the European Union and the United States’ monetary policies. © 2024 by the authors.
dc.identifier.doi10.3390/economies12070170
dc.identifier.instnameinstname:Universidad de Medellínspa
dc.identifier.issn22277099
dc.identifier.reponamereponame:Repositorio Institucional Universidad de Medellínspa
dc.identifier.repourlrepourl:https://repository.udem.edu.co/
dc.identifier.urihttp://hdl.handle.net/11407/8734
dc.language.isoeng
dc.publisher.facultyFacultad de Ingenieríasspa
dc.publisher.programIngeniería Financieraspa
dc.relation.citationissue7
dc.relation.citationvolume12
dc.relation.isversionofhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85199870129&doi=10.3390%2feconomies12070170&partnerID=40&md5=173ac4df5bfdfa9dc48b1b7b48ea3eeb
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dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.sourceEconomies
dc.sourceEconomies
dc.sourceScopus
dc.subjectClimate financeeng
dc.subjectGreen bondseng
dc.subjectQVAReng
dc.subjectSDGseng
dc.subjectSustainable investmenteng
dc.titleConnectedness between Sustainable Investment Indexes: The QVAR Approacheng
dc.typeArticle
dc.type.localArtículo de revistaspa
dc.type.versioninfo:eu-repo/semantics/publishedVersion

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