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Exploring the hedge, diversifier and safe haven properties of ESG investments: A cross-quantilogram analysis

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  • Pedini, Luca
  • Severini, Sabrina

Abstract

This article proposes an empirical investigation, based on a cross-quantilogram analysis, to assess the hedge, diversifier and safe haven properties of Environmental, Social and Governance (ESG) assets in comparison to conventional investment practices (equity index, gold, commodities and cryptocurrencies). Our evidence shows that ESG assets have a weak safe haven properties but still represent an outstanding diversification and hedge asset, depending on the asset class taken as reference. Our results provide important implications for risk management suggesting that investors have started considering sustainable investing as a new measure of value maximization and risk reduction.

Suggested Citation

  • Pedini, Luca & Severini, Sabrina, 2022. "Exploring the hedge, diversifier and safe haven properties of ESG investments: A cross-quantilogram analysis," MPRA Paper 112339, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:112339
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    Cited by:

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    More about this item

    Keywords

    cross-quantilogram; ESG investment; safe haven; portfolio allocation;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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