The resilience of ethical assets against different uncertainty shocks
The focus of this research is to examine the safe-haven properties of seven ethical and conventional asset classes using two sophisticated techniques: quantile coherence and Wavelet coherence. We analyze data ranging from October 3, 2011, to September 30, 2021, that encapsulates several global risk...
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| Format: | Article |
| Language: | English |
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Elsevier
2024-12-01
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| Series: | Heliyon |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844024170119 |
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| author | Md Bokhtiar Hasan M. Kabir Hassan Mamunur Rashid Tanzila Akter Humaira Tahsin Rafia |
| author_facet | Md Bokhtiar Hasan M. Kabir Hassan Mamunur Rashid Tanzila Akter Humaira Tahsin Rafia |
| author_sort | Md Bokhtiar Hasan |
| collection | DOAJ |
| description | The focus of this research is to examine the safe-haven properties of seven ethical and conventional asset classes using two sophisticated techniques: quantile coherence and Wavelet coherence. We analyze data ranging from October 3, 2011, to September 30, 2021, that encapsulates several global risk events. The results exhibit either positive or neutral associations between most assets and the Geopolitical Risk (GPR), indicating their safe haven capabilities against the GPR shocks. Notably, the coherence observed between the Economic Policy Uncertainty (EPU) and these assets reveals a positive correlation during bearish markets (monthly frequency) and normal and bullish markets (weekly frequency). Furthermore, only the S&P Green Bond (SPGRNB) as well as S&P Global Clean Energy (SPCE) indices demonstrate protective attributes against EPU shocks during COVID-19. Conversely, market volatility (VIX) was found to negatively impact all asset classes except SPGRNB, which indicates the non-idiosyncratic nature of VIX shocks. Consequently, investors and fund managers operating in ethical markets may consider optimizing their portfolios to shield their wealth amidst instances of extreme and enduring shocks. |
| format | Article |
| id | doaj-art-dc40a3411d3241f6a843756b4245d059 |
| institution | Kabale University |
| issn | 2405-8440 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Heliyon |
| spelling | doaj-art-dc40a3411d3241f6a843756b4245d0592024-12-19T10:56:19ZengElsevierHeliyon2405-84402024-12-011024e40980The resilience of ethical assets against different uncertainty shocksMd Bokhtiar Hasan0M. Kabir Hassan1Mamunur Rashid2Tanzila Akter3Humaira Tahsin Rafia4Department of Finance and Banking, Islamic University, Kushtia, 7003, BangladeshDepartment of Economics and Finance, University of New Orleans, New Orleans, LA, 70148, United StatesChrist Church Business School, Canterbury Christ Church University, United KingdomDepartment of Finance and Banking, Islamic University, Kushtia, 7003, Bangladesh; Corresponding author.Department of Finance and Banking, Islamic University, Kushtia, 7003, BangladeshThe focus of this research is to examine the safe-haven properties of seven ethical and conventional asset classes using two sophisticated techniques: quantile coherence and Wavelet coherence. We analyze data ranging from October 3, 2011, to September 30, 2021, that encapsulates several global risk events. The results exhibit either positive or neutral associations between most assets and the Geopolitical Risk (GPR), indicating their safe haven capabilities against the GPR shocks. Notably, the coherence observed between the Economic Policy Uncertainty (EPU) and these assets reveals a positive correlation during bearish markets (monthly frequency) and normal and bullish markets (weekly frequency). Furthermore, only the S&P Green Bond (SPGRNB) as well as S&P Global Clean Energy (SPCE) indices demonstrate protective attributes against EPU shocks during COVID-19. Conversely, market volatility (VIX) was found to negatively impact all asset classes except SPGRNB, which indicates the non-idiosyncratic nature of VIX shocks. Consequently, investors and fund managers operating in ethical markets may consider optimizing their portfolios to shield their wealth amidst instances of extreme and enduring shocks.http://www.sciencedirect.com/science/article/pii/S2405844024170119JEL Code: C22D81G11G15 |
| spellingShingle | Md Bokhtiar Hasan M. Kabir Hassan Mamunur Rashid Tanzila Akter Humaira Tahsin Rafia The resilience of ethical assets against different uncertainty shocks Heliyon JEL Code: C22 D81 G11 G15 |
| title | The resilience of ethical assets against different uncertainty shocks |
| title_full | The resilience of ethical assets against different uncertainty shocks |
| title_fullStr | The resilience of ethical assets against different uncertainty shocks |
| title_full_unstemmed | The resilience of ethical assets against different uncertainty shocks |
| title_short | The resilience of ethical assets against different uncertainty shocks |
| title_sort | resilience of ethical assets against different uncertainty shocks |
| topic | JEL Code: C22 D81 G11 G15 |
| url | http://www.sciencedirect.com/science/article/pii/S2405844024170119 |
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