PDF(Pubmed)
Abstract：
This study is aimed at investigating the asymmetric and time-frequency co-movements and the hedge or safe-haven properties of carbon efficient indices, the MSCI ACWI Sustainable Impact, and MSCI World EGS indices, in relation to technology and innovation-themed investments. In doing so, the ADCC-GJR-GARCH and wavelet coherence techniques are applied to a daily return series ranging from January 2019 to January 2023. Findings of the ADCC-GJR-GARCH model show negative and insignificant asymmetric linkage among underlying indices during the sample period. The S&P 500 carbon efficient index (CEI) acts as a strong hedge or safe-haven for technology and innovation-themed indices during tranquil and tumultuous periods. The MSCI ACWI Sustainable Impact, MSCI World EGS, and carbon efficient indices except for S&P 500 CEI exhibit weak hedge or safe-haven attributes. Wavelet coherence reveals negative (positive) co-movements between the thematic and carbon efficient indices in short-term (medium-term and long-term) horizons with consistent leading behavior of thematic indices to carbon efficient indices outcomes. It justifies the presence of short-lived hedging or safe-haven characteristics in the thematic domain for investors. These strong and weak hedge or safe-haven characteristics of low carbon and sustainability indices reveal that adding low carbon efficient and sustainable investments to a portfolio result in considerable diversification benefits for investors who tend to take minimal risk in both tranquil and tumultuous periods. The current findings imply that financial institutions, thematic investing companies, and governments need to encourage carbon efficient technology transfer and innovation-themed investments by increasing the fund allocations in underlying asset classes. Policy-making and regulatory bodies can encourage investors to make carbon-efficient and thematic investments and companies to issue carbon-efficient stocks or investments to safeguard social and economic risks during fragile periods. These investments can offer greater opportunities to combat the intensity of economic shocks on portfolios for responsible or sustainable investors.
摘要：
本研究旨在调查碳效率指数的非对称和时频共同运动以及对冲或避险特性，MSCIACWI可持续影响，和MSCI世界EGS指数，以技术和创新为主题的投资。在这样做的时候，ADCC-GJR-GARCH和小波相干技术应用于2019年1月至2023年1月的每日收益序列。ADCC-GJR-GARCH模型的研究结果表明，在样本期内，基础指数之间存在负的和不对称的联系。标准普尔500碳效率指数（CEI）在平静和动荡的时期，是技术和创新主题指数的强大对冲或避风港。MSCIACWI的可持续影响，MSCI世界EGS，除标准普尔500指数外，碳效率指数表现出较弱的对冲或避险属性。小波相干性揭示了短期（中期和长期）范围内主题和碳效率指数之间的负（正）共同运动，主题指数与碳效率指数结果的一致领先行为。它证明了投资者在主题领域存在短期对冲或避险特征的合理性。低碳和可持续发展指数的这些强而弱的对冲或避险特征表明，在投资组合中增加低碳效率和可持续的投资，对于那些在平静和动荡时期都倾向于承担最小风险的投资者来说，可以带来可观的多元化收益。目前的调查结果表明，金融机构，主题投资公司，政府需要通过增加基金在基础资产类别中的分配来鼓励碳高效技术转让和以创新为主题的投资。决策和监管机构可以鼓励投资者进行碳高效和主题投资，并鼓励公司发行碳高效股票或投资，以保护脆弱时期的社会和经济风险。这些投资可以为负责任的或可持续的投资者提供更大的机会来对抗投资组合上的经济冲击强度。
