Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/329096 
Year of Publication: 
2024
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 12 [Issue:] 7 [Article No.:] 170 [Year:] 2024 [Pages:] 1-19
Publisher: 
MDPI, Basel
Abstract: 
We studied the relationship between sustainable investment indexes and examine whether this relationship varies in bullish, bearish, and stable financial markets. To understand this issue more deeply, we analyzed the connectedness between three indexes-the Sustainable Impact investments, Paris-aligned stocks, and green bonds indexes-using the daily closing prices from 1 June 2017 to 15 April 2024, encompassing 1793 observations. We used a quantile vector autoregressive (QVAR) model to understand the dynamic relationship among the considered indices. The findings indicate that sustainable investments are strongly interconnected in both high and low quantiles, but this connection weakens significantly during periods of market stability. The Sustainable Impact investments and Paris-aligned stocks indexes are net transmitters of impacts to other sustainable alternatives, while the green bonds index is a net receiver. We also observed an increase in interconnectedness across all quantiles during the pandemic, the Russia-Ukraine military conflict, and changes in the European Union and the United States' monetary policies.
Subjects: 
climate finance
green bonds
QVAR
SDGs
sustainable investment
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.