Hasan Md Bokhtiar, Hassan M Kabir, Rashid Mamunur, Akter Tanzila, Rafia Humaira Tahsin
Department of Finance and Banking, Islamic University, Kushtia, 7003, Bangladesh.
Department of Economics and Finance, University of New Orleans, New Orleans, LA, 70148, United States.
Heliyon. 2024 Dec 6;10(24):e40980. doi: 10.1016/j.heliyon.2024.e40980. eCollection 2024 Dec 30.
The focus of this research is to examine the safe-haven properties of seven ethical and conventional asset classes using two sophisticated techniques: quantile coherence and Wavelet coherence. We analyze data ranging from October 3, 2011, to September 30, 2021, that encapsulates several global risk events. The results exhibit either positive or neutral associations between most assets and the Geopolitical Risk (GPR), indicating their safe haven capabilities against the GPR shocks. Notably, the coherence observed between the Economic Policy Uncertainty (EPU) and these assets reveals a positive correlation during bearish markets (monthly frequency) and normal and bullish markets (weekly frequency). Furthermore, only the S&P Green Bond (SPGRNB) as well as S&P Global Clean Energy (SPCE) indices demonstrate protective attributes against EPU shocks during COVID-19. Conversely, market volatility (VIX) was found to negatively impact all asset classes except SPGRNB, which indicates the non-idiosyncratic nature of VIX shocks. Consequently, investors and fund managers operating in ethical markets may consider optimizing their portfolios to shield their wealth amidst instances of extreme and enduring shocks.
本研究的重点是使用两种复杂技术——分位数相干和小波相干，来检验七种道德和传统资产类别的避险属性。我们分析了2011年10月3日至2021年9月30日的数据，这些数据涵盖了多个全球风险事件。结果显示，大多数资产与地缘政治风险（GPR）之间存在正向或中性关联，表明它们对GPR冲击具有避险能力。值得注意的是，经济政策不确定性（EPU）与这些资产之间的相干性显示，在熊市（月度频率）以及正常和牛市（周度频率）期间存在正相关。此外，只有标准普尔绿色债券（SPGRNB）以及标准普尔全球清洁能源（SPCE）指数在新冠疫情期间表现出对EPU冲击的保护属性。相反，市场波动率（VIX）被发现对除SPGRNB之外的所有资产类别都有负面影响，这表明VIX冲击具有非特质性。因此，在道德市场运作的投资者和基金经理可能会考虑优化其投资组合，以便在极端和持久冲击的情况下保护其财富。
