The resilience of ethical assets against different uncertainty shocks.

Journal article

Hasan, Md Bokhtiar, Hassan, M Kabir, Rashid, Mamunur, Akter, Tanzila and Rafia, Humaira Tahsin 2024. The resilience of ethical assets against different uncertainty shocks. Heliyon. 10 (24), p. e40980. https://doi.org/10.1016/j.heliyon.2024.e40980
AuthorsHasan, Md Bokhtiar, Hassan, M Kabir, Rashid, Mamunur, Akter, Tanzila and Rafia, Humaira Tahsin
AbstractThe 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. [Abstract copyright: © 2024 The Authors.]
KeywordsWavelet coherence; Quantile coherence; Uncertainties; Resilience; Safe haven; Ethical assets
Year2024
JournalHeliyon
Journal citation10 (24), p. e40980
PublisherElsevier
ISSN2405-8440
Digital Object Identifier (DOI)https://doi.org/10.1016/j.heliyon.2024.e40980
Official URLhttps://www.sciencedirect.com/science/article/pii/S2405844024170119?via%3Dihub
Publication dates
Online06 Dec 2024
Publication process dates
Accepted04 Dec 2024
Deposited20 Jan 2025
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Open
Output statusPublished
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