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Volatility spillovers and hedging strategies between impact investing and agricultural commodities
Banerjee, Ameet Kumar Akhtaruzzaman, Md Sensoy, Ahmet Goodell, John W.
Banerjee, Ameet Kumar
Akhtaruzzaman, Md
Sensoy, Ahmet
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.
Keywords
Impact investing, Agricultural commodities, Connectedness, Hedging, Diversification
Date
2024
Type
Journal article
Journal
Book
Volume
94
Issue
Page Range
1-16
Article Number
ACU Department
Peter Faber Business School
Faculty of Law and Business
Faculty of Law and Business
Collections
Relation URI
Event URL
Open Access Status
License
All rights reserved
File Access
Controlled
Notes
© 2024 Published by Elsevier Inc.