Next Article in Journal
Factors Influencing Levels of CSR Disclosure by Forestry Companies in China
Previous Article in Journal
Shedding New Light on Project Portfolio Risk Management
Previous Article in Special Issue
Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA
Article Menu

Export Article

Open AccessArticle
Sustainability 2017, 9(10), 1799; doi:10.3390/su9101799

Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations

1
Department of Economics, Eastern Mediterranean University, Turkish Republic of Northern Cyprus, via Mersin 10, Famagusta, Turkey
2
Department of Economics, University of Pretoria, Pretoria 0002, South Africa
3
2300 Avenue des Moulins, 34080 Montpellier, France
4
Department of Economics & Finance, Southern Illinois University Edwardsville, Edwardsville, IL 62026-1102, USA
5
Department of Economics, University of Pretoria, Pretoria 0002, South Africa
6
IPAG Business School, 184 Boulevard Saint-Germain, 75006 Paris, France
*
Author to whom correspondence should be addressed.
Received: 14 August 2017 / Revised: 27 September 2017 / Accepted: 28 September 2017 / Published: 4 October 2017
(This article belongs to the Special Issue Risk Measures with Applications in Finance and Economics)
View Full-Text   |   Download PDF [1947 KB, uploaded 11 October 2017]   |  

Abstract

This paper explores the potential diversification benefits of socially responsible investments for conventional stock portfolios by examining the risk spillovers and dynamic correlations between conventional and sustainability stock indexes from a number of regions. We observe significant unidirectional volatility transmissions from conventional to sustainable equities, suggesting that the criteria applied for socially responsible investments do not necessarily shield these securities from common market shocks. While significant dynamic correlations are observed between sustainable and conventional stocks, particularly in Europe, the analysis of both in- and out-of-sample dynamic portfolios suggests that supplementing conventional stock portfolios with sustainable counterparts improves the risk/return profile of stock portfolios in all regions. The findings overall suggest that sustainable investments can indeed provide diversification gains for conventional stock portfolios globally. View Full-Text
Keywords: socially responsible investment; multivariate regime-switching; time-varying correlations; volatility transmission socially responsible investment; multivariate regime-switching; time-varying correlations; volatility transmission
Figures

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

Balcilar, M.; Demirer, R.; Gupta, R. Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations. Sustainability 2017, 9, 1799.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Sustainability EISSN 2071-1050 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top