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How has COVID-19 affected the performance of green investment funds?

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  • Agoraki, Maria-Eleni K.
  • Aslanidis, Nektarios
  • Kouretas, Georgios P.

Abstract

This paper adopts quantile regressions to scrutinize the dynamics of green investment funds in relation to the outbreak of the COVID-19 pandemic. We use data on three of the largest green investment funds (BNP PARIBAS Funds Climate Impact, Nordea Global Climate & Environment, and AMUNDI Funds Global Ecology ESG), whose proceeds finance environmental-focused projects. We consider explicitly how different types of COVID-19 measures impact on these green assets. We show evidence that economic support due to COVID-19 has a positive effect on the green assets. The effect is especially strong when the returns are negative. We further report that strigency owing to the pandemic is also positively associated with green investment funds, but again, for negative returns. On the other hand, the effect of confirmed deaths is not as strong shows up mainly at lower quantiles. A similar results applies to infectious disease equity market volatility. We account for the broader macroeconomic environment and subject our models to a battery of sub-sample robustness checks. Our research offers interesting insights in terms of investment and portfolio diversification, that can be applied to the analysis of asset management and policy making.

Suggested Citation

  • Agoraki, Maria-Eleni K. & Aslanidis, Nektarios & Kouretas, Georgios P., 2023. "How has COVID-19 affected the performance of green investment funds?," Journal of International Money and Finance, Elsevier, vol. 131(C).
    • Handle: RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622001954
    DOI: 10.1016/j.jimonfin.2022.102792
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    2. Kocaarslan, Baris & Soytas, Ugur, 2023. "The role of major markets in predicting the U.S. municipal green bond market performance: New evidence from machine learning models," Technological Forecasting and Social Change, Elsevier, vol. 196(C).
    3. Jingbing Sun & Youmu Xie & Sheng Zhou & Jiali Dan, 2024. "RETRACTED ARTICLE: The role of solar energy in achieving net-zero emission and green growth: a global analysis," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-16, April.
    4. Arfaoui, Nadia & Naeem, Muhammad Abubakr & Maherzi, Teja & Kayani, Umar Nawaz, 2024. "Can green investment funds hedge climate risk?," Finance Research Letters, Elsevier, vol. 60(C).
    5. Ahmed, Walid M.A., 2024. "Attention to climate change and eco-friendly financial-asset prices: A quantile ARDL approach," Energy Economics, Elsevier, vol. 136(C).
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    7. Jiaguo Peng & Lifei Huang & Jian Xu, 2024. "RETRACTED ARTICLE: Role of sustainability ethics in amplifying investments in common green properties and infrastructure in China," Economic Change and Restructuring, Springer, vol. 57(3), pages 1-17, June.
    8. An, Zhengzhen & Zhao, Yue & Zhang, Yanfei, 2023. "Mineral exploration and the green transition: Opportunities and challenges for the mining industry," Resources Policy, Elsevier, vol. 86(PA).
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    10. Yiran Bai & Chunxian Lu & Ximiao Dong & Yinan Li, 2024. "Role of collaborative governance in unlocking private investment in sustainable projects," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-9, December.

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