Environmentally sustainable investment: Dynamics between global thematic indices
Vítor Gabriel
Polytechnic Institute of Guarda (Portugal)
This study analyses the long-term and short-term dynamics established between environmentally sustainable investment segments, applying a diverse methodological proposal based on the Johansen cointegration approach, Granger causality concept, and impulse response functions and considering a multivariate asymmetric GARCH model. Five environmental investment segments were selected, in particular concerning alternative energy, clean technology, green building, sustainable water, and pollution prevention.
The results show that the investment segments do not follow similar paths in the long term. In the short term, sustainable water is particularly autonomous and contributes to explaining the movements in the remaining segments. Evidence of own and cross-contagion effects was found as well as asymmetric volatility effects. This poses great challenges for investors in diversifying investment.
Sustainable investment, thematic indices, cointegration, vector autoregression, impulse response, multivariate asymmetric GARCH
DOI: 10.5295/cdg.150545vg
Gabriel, V., 2019. Environmentally sustainable investment: Dynamics between global thematic indices. Cuadernos de Gestión, 19(1), 41-62. DOI: 10.5295/cdg.150545vg
JEL Classification: Q01; C58

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