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
Authors | Banerjee, Ameet Kumar, Akhtaruzzaman, Md, Sensoy, Ahmet and Goodell, John W. |
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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. |
Keywords | Impact investing; Agricultural commodities; Connectedness; Hedging; Diversification |
Year | 01 Jan 2024 |
Journal | International Review of Financial Analysis |
Journal citation | 94, pp. 1-16 |
Publisher | Elsevier B.V. (Netherlands) |
ISSN | 1057-5219 |
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 access | Published as non-open access |
Research or scholarly | Research |
Page range | 1-16 |
Publisher's version | License All rights reserved File Access Level Controlled |
Output status | Published |
Publication dates | |
Online | 19 Mar 2024 |
Publication process dates | |
Accepted | 17 Mar 2024 |
Deposited | 13 Sep 2024 |
Additional information | © 2024 Published by Elsevier Inc. |
Place of publication | United States |
https://acuresearchbank.acu.edu.au/item/90y51/volatility-spillovers-and-hedging-strategies-between-impact-investing-and-agricultural-commodities
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