Title: Risk-synchronisation through the prism of interconnectedness among sustainability equities returns: a regional and global perspective

Authors: Emmanuel Asafo-Adjei; Anokye M. Adam; Zulaiha Hamidu; Priscilla B. Oppong; Gilbert K. Amoako

Addresses: Department of Finance, University of Cape Coast, Cape Coast, Ghana ' Department of Finance, University of Cape Coast, Cape Coast, Ghana ' Department of Marketing and Supply Chain Management, University of Cape Coast, Cape Coast, Ghana ' Wits Business School, University of the Witwatersrand, Johannesburg, South Africa ' Department of Accountancy and Accounting Information System, Kumasi Technical University, Kumasi, Ashanti Region, Ghana

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.

Keywords: connectedness; integration; spillover; contagion; transmitters; receivers.

DOI: 10.1504/IJGE.2022.127911

International Journal of Green Economics, 2022 Vol.16 No.2, pp.165 - 203

Received: 25 Apr 2022
Accepted: 24 Nov 2022

Published online: 21 Dec 2022 *

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