Fabozzi, Frank J., Tunaru, Diana, Tunaru, Radu (2022) The Interconnectedness Between Green Finance Indexes and Other Important Financial Variables. The Journal of Portfolio Management, 48 (10). pp. 60-77. ISSN 0095-4918. E-ISSN 2168-8656. (doi:10.3905/jpm.2022.1.392) (KAR id:96985)
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Official URL: https://doi.org/10.3905/jpm.2022.1.392 |
Abstract
In this article, the authors explore the degree of interconnectedness between stock indexes adjusted for green revenues of companies from major economies and various other important macroeconomic and financial variables. For the most complex model considered, the analysis indicates that the green revenue index for China is directly related to the green revenue indexes of the US, Europe and UK, only to Apple but not to Microsoft, and to none of the macroeconomic variables included in the study. The analysis shows that gold price risk is orthogonal on climate change risk. Oil prices and international bond prices seem to impact the green revenues of companies in China and the UK only through the related green revenues of the intermediary companies in the US and Europe.
Item Type: | Article |
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DOI/Identification number: | 10.3905/jpm.2022.1.392 |
Uncontrolled keywords: | Climate Finance, Green Stock Indices, Graphical Models, Interconnectedness, Multivariate Correlation |
Subjects: |
H Social Sciences > HA Statistics H Social Sciences > HG Finance |
Divisions: | Divisions > Kent Business School - Division > Department of Accounting and Finance |
Funders: | University of Kent (https://ror.org/00xkeyj56) |
Depositing User: | Diana Tunaru |
Date Deposited: | 19 Sep 2022 14:05 UTC |
Last Modified: | 01 Aug 2023 23:00 UTC |
Resource URI: | https://kar.kent.ac.uk/id/eprint/96985 (The current URI for this page, for reference purposes) |
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