Mobeen Ur Rehman , Neeraj Nautiyal , Rami Zeitun , Xuan Vinh Vo
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引用次数: 0
Abstract
In this paper, we investigate the potential presence of returns comovement between socially responsible investment (SRI) funds and oil shocks based on daily data from March 8, 2016 to June 11, 2021. According to the seminal work of Ready (2018), oil shocks can be supply-, demand-, or risk-driven in nature. We applied a contemporary rolling window wavelet correlation approach across various levels of decomposition to measure the degree of comovement between oil shocks and SRI returns. The results of this highlight the heterogeneous influence of oil shocks on SRI returns. More specifically, demand shocks have a positive influence, whereas risk shocks show a negative correlation with SRI returns. In contrast, the results for supply shocks are mixed. We also noted the causal effect of risk shocks on the returns of SRI funds. This work has implications for investors who follow the ESG framework under the influence of the international oil market.
期刊介绍：
The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.
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