There
is
an
increasing
move
towards
sustainable
approaches
to
all
aspects
of
industry,
particularly
in
the
energy
sector,
as
a
result
need
limit
greenhouse
gas
emissions.
This
has
facilitated
investing
and
rise
specific
investment
strategies.
The
aim
this
paper
analyze
connectedness
between
sustainability
conventional
stock
price
returns
main
European
countries
(Europe,
Belgium,
France,
Italy,
Netherlands,
Spain,
Finland,
Germany)
using
time-varying
parameter
vector
autoregression
(TVP-VAR)
model.
In
addition,
we
use
GARCH-DCC
model
assess
optimal
portfolio
weights
hedging
results
show
strong
dynamics
positive
spillovers
among
markets.
spillover
size
shows
significant
jump
during
pandemic
outbreak,
2016
Chinese
market
crash,
Brexit,
Ukraine-Russia
tensions.
During
pandemic,
markets
except
Italy
Spain
are
net
shock
contributors,
while
receivers
for
Germany,
Europe.
hedge
ratio
reveal
that
asset
expensive
before
pandemic.
weight
values
indicate
investors
should
hold
more
stocks
than
irrespective
crisis.
Italian-sustainability
provides
highest
effectiveness
COVID-19
period.
Australian Journal of Management,
Год журнала:
2023,
Номер
unknown
Опубликована: Июль 16, 2023
In
view
of
the
need
for
portfolio
diversification,
we
investigate
interlinkages
between
a
private
equity
ETF
and
set
high-demand
asset
classes
including
bonds,
equities,
crude
oil,
gold,
commodities,
currency,
Bitcoin,
shipping
within
spillover
framework.
For
this
objective,
apply
enhanced
modification
Diebold
Yilmaz
approach
period
1
January
2010
to
31
2023.
The
empirical
findings
indicate
modest
degree
connectedness
among
investigated
markets,
whereas
volatility
spillovers
showed
acceleration
during
tumultuous
periods.
addition,
assess
capacity
equities
hedging,
whole
sample
COVID-19
infectious
disease,
in
order
suggest
investors
potential
restructures.
Results
demonstrate
that
short
position
can
result
strong
hedging
effectiveness
holding
long
positions
shipping,
oil.
JEL
Classification:
C32,
C58,
G11,
G15
International Journal of Financial Studies,
Год журнала:
2023,
Номер
11(3), С. 112 - 112
Опубликована: Сен. 12, 2023
This
study
investigates
the
returns
spillovers
across
equity
markets
of
Asian
emerging
economies
(China,
India,
Indonesia,
Malaysia,
Pakistan,
Philippines,
South
Korea,
Taiwan,
and
Thailand).
To
achieve
this
objective,
we
used
two
different
spillover
methodologies
(DY
2012
BK
2018).
Moreover,
daily
closing
prices
indices
ranging
from
5
January
2005
to
13
November
2021.
The
empirical
findings
revealed
that
total
index
using
DY
2012,
short-term
frequency
2018,
are
close
each
other,
with
values
46.92%
43.04%,
respectively.
However,
value
is
high,
a
56.25%
in
long
run.
Furthermore,
results
showed
stock
Korea
Taiwan
major
transmitters
markets.
Also,
financial
association
among
all
equities
at
its
peak,
subject
mobility
cash
flows
global
economies.
provide
meaningful
insight
for
policymakers
investors
implement
an
effective
strategy
overcome
possible
influence
any
crisis
future.
Our
paper
provides
potential
contribution
literature
by
examining
transmission
it
in-depth
information
regarding
market
interdependence.
