Risk-synchronisation through the prism of interconnectedness among sustainability equities returns: a regional and global perspective
by Emmanuel Asafo-Adjei; Anokye M. Adam; Zulaiha Hamidu; Priscilla B. Oppong; Gilbert K. Amoako
International Journal of Green Economics (IJGE), Vol. 16, No. 2, 2022

Abstract: The study scrutinises the dynamic interconnectedness among 20 sustainability equities returns from regional and global perspective with a sample period from 12th November 2012 to 2nd December 2021. The sustainability equities returns include samples from Africa, America, Asia, Europe, BRICT, Emerging markets, Developed markets and World indices. Using the TVP-VAR and wavelet multiple techniques, we find heterogeneous levels of markets integrations. A mixture of net transmitting and net receiving assets at the averaged total connectedness and net connectedness levels are noticeable. Also, dynamic connectedness rises in times of uncertainties revealing contagion effects. Moreover, the integration levels among sustainability equities are high across investment horizons, but with a potential lead or lag. Particularly, we find more flights to quality for net receivers of shocks relative to net transmitters. It must be noted that distinctions between net transmitters and net receivers of sustainability equities should manifest across time for effective investment decisions.

Online publication date: Wed, 21-Dec-2022

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Green Economics (IJGE):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com