Volatility spillovers and hedging strategies between impact investing and agricultural commodities

Journal article

Banerjee, Ameet Kumar, Akhtaruzzaman, Md, Sensoy, Ahmet and Goodell, John W.. (2024). Volatility spillovers and hedging strategies between impact investing and agricultural commodities. International Review of Financial Analysis. 94, pp. 1-16. https://doi.org/10.1016/j.irfa.2024.103237
AuthorsBanerjee, Ameet Kumar, Akhtaruzzaman, Md, Sensoy, Ahmet and Goodell, John W.
Abstract

We examine spillover and hedging among impact investing and agricultural commodities. Results demonstrate that impact investing is a prominent spillover transmitter during both calm conditions and crises, while agricultural commodities are typically receivers. Analysis indicates that hedging effectiveness is enhanced by portfolios containing impact investing and agricultural products, with this more so during crises. Additionally, analysis reveals that irrespective of position on the risk aversion spectrum, investors gain utility substantially by including impact investing and agricultural assets, even considering transaction costs. These findings add to the extant literature and offer practical implications for investors, fund managers, and policymakers regarding risk management perspectives and portfolio diversification.

KeywordsImpact investing; Agricultural commodities; Connectedness; Hedging; Diversification
Year01 Jan 2024
JournalInternational Review of Financial Analysis
Journal citation94, pp. 1-16
PublisherElsevier B.V. (Netherlands)
ISSN1057-5219
Digital Object Identifier (DOI)https://doi.org/10.1016/j.irfa.2024.103237
Web address (URL)https://www.sciencedirect.com/science/article/pii/S1057521924001698?via%3Dihub
Open accessPublished as non-open access
Research or scholarlyResearch
Page range1-16
Publisher's version
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All rights reserved
File Access Level
Controlled
Output statusPublished
Publication dates
Online19 Mar 2024
Publication process dates
Accepted17 Mar 2024
Deposited13 Sep 2024
Additional information

© 2024 Published by Elsevier Inc.

Place of publicationUnited States
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