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Time-Varying Connectedness Among Sustainable Financial Assets: Are There Diversification Opportunities?

In: Climate Finance & Accountability A Comprehensive and Holistic Approach

Author

Listed:
  • Nourhaine Nefzi
  • Maroua Jerbi
  • Hela Ayadi

Abstract

This study investigates the dynamic connectedness within the green market by focusing on four green indices, each representing a distinct category: green bond, corporate sustainability performance, clean energy, and clean cryptocurrency. We apply the Time-Varying Parameter Vector Autoregression to daily frequency data spanning from September 27th, 2019 to April 6th, 2023. Our findings confirm the existence of a dynamic relationship across the selected green indices during market turbulence, with the green bond index presenting the lowest connectedness with all other indices. We also confirm the absence of significant connectedness between the corporate sustainability performance and clean energy indices during both normal and crisis periods. These two indices are identified as primary shock contributors within the network during periods of heightened market turbulence, with the clean cryptocurrency asset being the most resilient shock receiver. Our analysis indicates significant hedge and safe haven implications, thus providing investors with informed decisions when selecting green asset investments. Additionally, these insights are crucial for policymakers seeking to understand the dynamics of green markets and to facilitate the transition toward a more sustainable economy.

Suggested Citation

  • Nourhaine Nefzi & Maroua Jerbi & Hela Ayadi, 2026. "Time-Varying Connectedness Among Sustainable Financial Assets: Are There Diversification Opportunities?," World Scientific Book Chapters, in: Fatma Mrad & Samir Saadi & Syrine Sassi (ed.), Climate Finance & Accountability A Comprehensive and Holistic Approach, chapter 8, pages 227-252, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789819821822_0008
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    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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