{"title":"Connectedness between sustainable exchanged‐traded funds in the presence of the Ukrainian war: Does political risk matter?","authors":"Vítor Gabriel, Carlos Pinho","doi":"10.1111/issj.12491","DOIUrl":null,"url":null,"abstract":"This paper analyses the connectivity between geopolitical risk (GPR) and several segments of exchanged‐traded funds, aligned with the United Nations Sustainable Development Goals (SDGs), in order to understand the implications of risk associated with wars, political tensions and terrorist acts in the dynamics generated by this type of asset. We studied the behaviour of assets representative of 6 SDGs and 2 GPR indices, over a period of approximately 14 and a half years, characterized by several market phases, with special emphasis on the pandemic crisis and the war in Ukraine. Resorting to dynamic analysis, based on several multivariate models, it was possible to identify spillover effects in phases corresponding to turbulence in financial markets, in particular in the downward movements of prices of sustainable assets, generated from the geopolitical threat index. The results obtained are relevant for understanding the effect of GPR on sustainable investment, being of interest to various market actors.","PeriodicalId":35727,"journal":{"name":"International Social Science Journal","volume":"152 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Social Science Journal","FirstCategoryId":"90","ListUrlMain":"https://doi.org/10.1111/issj.12491","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"Social Sciences","Score":null,"Total":0}
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Abstract
This paper analyses the connectivity between geopolitical risk (GPR) and several segments of exchanged‐traded funds, aligned with the United Nations Sustainable Development Goals (SDGs), in order to understand the implications of risk associated with wars, political tensions and terrorist acts in the dynamics generated by this type of asset. We studied the behaviour of assets representative of 6 SDGs and 2 GPR indices, over a period of approximately 14 and a half years, characterized by several market phases, with special emphasis on the pandemic crisis and the war in Ukraine. Resorting to dynamic analysis, based on several multivariate models, it was possible to identify spillover effects in phases corresponding to turbulence in financial markets, in particular in the downward movements of prices of sustainable assets, generated from the geopolitical threat index. The results obtained are relevant for understanding the effect of GPR on sustainable investment, being of interest to various market actors.
期刊介绍：
The International Social Science Journal bridges social science communities across disciplines and continents with a view to sharing information and debate with the widest possible audience. The ISSJ has a particular focus on interdisciplinary and transdisciplinary work that pushes the boundaries of current approaches, and welcomes both applied and theoretical research. Originally founded by UNESCO in 1949, ISSJ has since grown into a forum for innovative review, reflection and discussion informed by recent and ongoing international, social science research. It provides a home for work that asks questions in new ways and/or employs original methods to classic problems and whose insights have implications across the disciplines and beyond the academy. The journal publishes regular editions featuring rigorous, peer-reviewed research articles that reflect its international and heterodox scope.
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