Dynamic Connectedness and Hedging Effectiveness Between Green Bonds, ESG Indices, and Traditional Assets DOI Creative Commons
Mohamed El Hédi Arouri, Mayssa Mhadhbi, Mohamad Hassan Shahrour

et al.

European Financial Management, Journal Year: 2025, Volume and Issue: unknown

Published: April 28, 2025

ABSTRACT This study highlights the significance of incorporating environmental, social, and governance (ESG) criteria within investment strategies to strengthen risk management in volatile markets. Employing time‐varying parameter vector autoregressions dynamic conditional correlation generalized autoregressive heteroskedasticity models, it explores links between green bonds, ESG indices, traditional equities, government securities. The overall findings reveal significant volatility spillovers, with bonds as major recipients S&P 500 indices net transmitters across market conditions. Practical hedging insights show effectiveness assets for portfolio stability during turbulence, offering valuable guidance investors striving harmonize profitability sustainability goals while strengthening resilience long‐term stability.

Language: Английский

Does climate policy uncertainty shape the response of stock markets to oil price changes? Evidence from GCC stock markets DOI
Mohamed El Hédi Arouri, Mathieu Gomes, Guillaume Pijourlet

et al.

Journal of Environmental Management, Journal Year: 2025, Volume and Issue: 375, P. 124229 - 124229

Published: Jan. 21, 2025

Language: Английский

Citations

1
Environmental transitions effect of renewable energy and fintech markets on Europe's real estate stock market DOI
Waheed Ullah Shah, Ijaz Younis, Ibtissem Missaoui

et al.

Renewable Energy, Journal Year: 2025, Volume and Issue: unknown, P. 122603 - 122603

Published: Feb. 1, 2025

Language: Английский

Citations

1
Time-frequency spillovers between carbon, fossil fuels, and clean energy markets: New insights from the TVP-VAR framework DOI

Qing Yi,

Yuanying Jiang

Energy, Journal Year: 2025, Volume and Issue: unknown, P. 135737 - 135737

Published: March 1, 2025

Language: Английский

Citations

0
Geopolitical risk and energy markets in China DOI Creative Commons

Xiaomei Su,

Ummara Razi, Shangmei Zhao

et al.

International Review of Financial Analysis, Journal Year: 2025, Volume and Issue: unknown, P. 104187 - 104187

Published: March 1, 2025

Language: Английский

Citations

0
Dynamic Connectedness and Hedging Effectiveness Between Green Bonds, ESG Indices, and Traditional Assets DOI Creative Commons
Mohamed El Hédi Arouri, Mayssa Mhadhbi, Mohamad Hassan Shahrour

et al.

European Financial Management, Journal Year: 2025, Volume and Issue: unknown

Published: April 28, 2025

ABSTRACT This study highlights the significance of incorporating environmental, social, and governance (ESG) criteria within investment strategies to strengthen risk management in volatile markets. Employing time‐varying parameter vector autoregressions dynamic conditional correlation generalized autoregressive heteroskedasticity models, it explores links between green bonds, ESG indices, traditional equities, government securities. The overall findings reveal significant volatility spillovers, with bonds as major recipients S&P 500 indices net transmitters across market conditions. Practical hedging insights show effectiveness assets for portfolio stability during turbulence, offering valuable guidance investors striving harmonize profitability sustainability goals while strengthening resilience long‐term stability.

Language: Английский

Citations

0