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Do market conditions affect interconnectedness pattern of socially responsible equities?

Author

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  • Naeem, Muhammad Abubakr
  • Anwer, Zaheer
  • Khan, Ashraf
  • Paltrinieri, Andrea

Abstract

We assess the interconnectedness pattern of sustainability leaders from United States market during stable, boom and crisis situations for the period 01-Oct-2005 to 31-May-2021 using Qian et al. (2020) methodology. The purpose is to assess the hedging properties of sustainable firms. We find that sampled firms exhibit high connectedness during tail events. Also, they offer hedge against the market conditions. Moreover, the small and growth-oriented firms contribute to the total connectedness for all market conditions. The sampled SRI network appears favorable for forming portfolio as the average connectedness is negative for all economic conditions.

Suggested Citation

  • Naeem, Muhammad Abubakr & Anwer, Zaheer & Khan, Ashraf & Paltrinieri, Andrea, 2024. "Do market conditions affect interconnectedness pattern of socially responsible equities?," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 611-630.
    • Handle: RePEc:eee:reveco:v:93:y:2024:i:pa:p:611-630
    DOI: 10.1016/j.iref.2024.03.031
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    Cited by:

    1. Zargar, Faisal Nazir & Mohnot, Rajesh & Hamouda, Foued & Arfaoui, Nadia, 2024. "Risk dynamics in energy transition: Evaluating downside risks and interconnectedness in fossil fuel and renewable energy markets," Resources Policy, Elsevier, vol. 92(C).
    2. Zhang, Xu & Lv, Zhiyu & Naeem, Muhammad Abubakr & Rauf, Abdul & Liu, Jiawen, 2024. "Decomposing risk spillover effect in international stock market: A novel intertemporal network topology approach," Finance Research Letters, Elsevier, vol. 63(C).

    More about this item

    Keywords

    Socially responsible investing; Connectedness; Tail risk; Network analysis;
    All these keywords.

    JEL classification:

    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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