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Are there Really Long-Run Diversification Benefits from Sustainable Investments?

Author

Listed:
  • Nicholas Apergis

    (Department of Law and Social Sciences, University of Derby, UK)

  • Vassilios Babalos

    (Department of Accounting and Finance, University of Peloponnese, Greece)

  • Christina Christou

    (Department of Economics and Management, Open University of Cyprus, Cyprus)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, South Africa)

Abstract

Socially responsible investments have turned into popular investment vehicles over the last decade. By employing a standard cointegration methodology along with a novel time-varying quantile cointegration approach, this paper estimates whether the U.S. Dow Jones Sustainability Index (DJSI) and its conventional counterpart are integrated. The results confirm the presence of an asymmetric long-run relationship between the two indices that is not picked up by the standard methodology of cointegration, rendering the cointegrating relationship to be quantile-dependent. Similar results appear for the world and European sustainability indices relative to their conventional counterparts, implying the robustness of our approach. These findings place any long-run diversification benefits under scrutiny and contain significant implications for international market participants.

Suggested Citation

  • Nicholas Apergis & Vassilios Babalos & Christina Christou & Rangan Gupta, 2019. "Are there Really Long-Run Diversification Benefits from Sustainable Investments?," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 18(2), pages 141-163, September.
    • Handle: RePEc:ijb:journl:v:18:y:2019:i:2:p:141-163
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    References listed on IDEAS

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    More about this item

    Keywords

    Socially responsible investments; quantile cointegration; diversification benefits;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G1 - Financial Economics - - General Financial Markets
    • Q5 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics

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