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The Resilience of the Socially Responsible Investment Networks

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Abstract

A network model is introduced and developed to compare portfolios of funds which are high ranked in Environmental Social and Governance (ESG) aspects with those with a poor ESG compliance. The nodes in the network represent funds and the edges are weighted on the basis of the capitalization due to the common components of the connected nodes. We specifically deal with the reactions of the considered financial networks to exogenous shocks of negative financial nature. To this aim, we provide a novel definition of the resilience of a financial network in terms of stability of its community structure. We test the theoretical proposal on different networks characterized by different ESG scores. We find that the high ranked funds networks are more resilient than the corresponding networks of low ranked funds.

Suggested Citation

  • Roy Cerqueti & Rocco Ciciretti & Ambrogio Dalò & Marco Nicolosi, 2020. "The Resilience of the Socially Responsible Investment Networks," CEIS Research Paper 495, Tor Vergata University, CEIS, revised 17 Jun 2020.
    • Handle: RePEc:rtv:ceisrp:495
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    Cited by:

    1. Nicolás Magner & Jaime F. Lavín & Mauricio A. Valle, 2022. "Modeling Synchronization Risk among Sustainable Exchange Trade Funds: A Statistical and Network Analysis Approach," Mathematics, MDPI, vol. 10(19), pages 1-30, October.

    More about this item

    Keywords

    Socially Responsible Investments; ESG criteria; Investment Funds; Financial networks Resilience.;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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