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The role of uncertainties on sustainable stocks and green bonds

Author

Listed:
  • Efe Caglar Cagli
  • Dilvin Taşkin
  • Pınar Evrim Mandaci

Abstract

Purpose - This paper aims to investigate the relationship between sustainable investments and a series of uncertainties from January 2014 to December 2021, including many economic and political turbulences and the COVID-19 pandemic. Design/methodology/approach - The authors use Rényi’s transfer entropy method, a nonparametric flexible tool that considers both the center distribution and lower quantiles, capturing extreme rare events that give additional insights to analysis. Findings - The authors’ results indicate significant bidirectional information transmissions between the crude oil volatility and sustainability indices. The authors report information flows between the cryptocurrency uncertainty and sustainability indices considering tail events. The results are essential for market participants making decisions during turbulent times. Originality/value - This paper is carried out for a variety of uncertainty measures and environmental, social and governance (ESG) portfolios of both developed and developing markets. It adds to literature in terms of methodology used. Rényi’s transfer entropy methodology is first used to measure the relationship between uncertainties and ESG investments.

Suggested Citation

  • Efe Caglar Cagli & Dilvin Taşkin & Pınar Evrim Mandaci, 2022. "The role of uncertainties on sustainable stocks and green bonds," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 15(4), pages 647-671, December.
    • Handle: RePEc:eme:qrfmpp:qrfm-02-2022-0032
    DOI: 10.1108/QRFM-02-2022-0032
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    Citations

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    Cited by:

    1. Yadav, Mikesh Prasad & Pandey, Asheesh & Taghizadeh-Hesary, Farhad & Arya, Vandana & Mishra, Nandita, 2023. "Volatility spillover of green bond with renewable energy and crypto market," Renewable Energy, Elsevier, vol. 212(C), pages 928-939.

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