Is greenness an optimal hedge for sectoral stock indices?
Journal article
Akhtaruzzaman, Md, Banerjee, Ameet Kumar, Ghardallou, Wafa and Umar, Zaghum. (2022). Is greenness an optimal hedge for sectoral stock indices? Economic Modelling. 117, p. Article 106030. https://doi.org/10.1016/j.econmod.2022.106030
Authors | Akhtaruzzaman, Md, Banerjee, Ameet Kumar, Ghardallou, Wafa and Umar, Zaghum |
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Abstract | The paper examines the role of green bonds in hedging the risk against industry portfolios and other major asset classes. It mainly focuses on how the greenness of the portfolio reduces the risk of green portfolios containing green bonds and 11 industrial sectors and major financial assets from October 2014 to November 2021. The results show that the risk of green portfolios is lower than that of unhedged (non-green) portfolios. Furthermore, our study provides evidence that the hedging effectiveness of green portfolios improves during the COVID–19 pandemic. Finally, the results show that investors across the risk aversion spectrum gain higher utility after considering the transaction costs while investing in green portfolios. These results are new additions to prior literature that can interest investors, fund managers, and policymakers. |
Keywords | sustainable finance; greenness; green bonds; hedge ratio; SDG; hedging effectiveness; green finance |
Year | 2022 |
Journal | Economic Modelling |
Journal citation | 117, p. Article 106030 |
Publisher | Elsevier B.V. |
ISSN | 0264-9993 |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.econmod.2022.106030 |
Scopus EID | 2-s2.0-85138513011 |
Page range | 1-15 |
Publisher's version | License All rights reserved File Access Level Controlled |
Output status | Published |
Publication dates | |
Online | 31 Aug 2022 |
Publication process dates | |
Accepted | 25 Aug 2022 |
Deposited | 08 Jun 2023 |
https://acuresearchbank.acu.edu.au/item/8z1zz/is-greenness-an-optimal-hedge-for-sectoral-stock-indices
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