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How has COVID-19 affected the performance of green investment funds?

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  • Agoraki, Maria-Eleni K.
  • Aslanidis, Nektarios
  • Kouretas, Georgios P.

Abstract

This paper adopts quantile regressions to scrutinize the dynamics of green investment funds in relation to the outbreak of the COVID-19 pandemic. We use data on three of the largest green investment funds (BNP PARIBAS Funds Climate Impact, Nordea Global Climate & Environment, and AMUNDI Funds Global Ecology ESG), whose proceeds finance environmental-focused projects. We consider explicitly how different types of COVID-19 measures impact on these green assets. We show evidence that economic support due to COVID-19 has a positive effect on the green assets. The effect is especially strong when the returns are negative. We further report that strigency owing to the pandemic is also positively associated with green investment funds, but again, for negative returns. On the other hand, the effect of confirmed deaths is not as strong shows up mainly at lower quantiles. A similar results applies to infectious disease equity market volatility. We account for the broader macroeconomic environment and subject our models to a battery of sub-sample robustness checks. Our research offers interesting insights in terms of investment and portfolio diversification, that can be applied to the analysis of asset management and policy making.

Suggested Citation

  • Agoraki, Maria-Eleni K. & Aslanidis, Nektarios & Kouretas, Georgios P., 2023. "How has COVID-19 affected the performance of green investment funds?," Journal of International Money and Finance, Elsevier, vol. 131(C).
    • Handle: RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622001954
    DOI: 10.1016/j.jimonfin.2022.102792
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    2. Sabbar Dahham Sabbar & Hani Amer Musa & Abdul Rahman Kadir & Mursalim Nohong & Arifuddin Manan & Musran Munizu & Anas Iswanto Anwar, 2023. "The Role of Green Marketing and Promotion of Green Energy Bonds to Reduce Carbon Emissions in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 13(5), pages 73-82, September.

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