Foreign direct investment (FDI) is a key driver of economic development of both developed and developing countries. Understanding and having insights into the factors that motivate increased FDI arevery important for both academics and policy makers. A key factor that multinationals incorporate in their decisions on FDI is geopolitical risk (GPR). Therefore, this study is devotedto investigating the short-term and long-term effects of GPR on FDI in Vietnam. Data used in this study are the yearly geopolitical risk index, FDI, and other control variables covering the period from 1986 to 2021. Using the autoregressive distributed lag (ARDL) bounds testing approach, the empirical results confirm that geopolitical risk (GPR) has a significantly negative effect on FDI in Vietnam in the longterm. Specifically, in the longterm, 1 percent increase in the GPR index is associated with 5.7983 percent decrease in Vietnam’s FDI. In addition, the results derived from the ARDL model indicate that in the shortterm, GPR has a significantly positive effect on the FDI for the one-year lag, meaning that an increase in the GPR index leads to an increase in FDI. Moreover, the results derived from the error correction model (ECM) indicate that 42.89% of the disequilibria from the previous year are converged and corrected back to the long-run equilibrium in the current year. Based on the findings, some policy implications are drawn for policymakers to mitigate the negative effects of GPR on FDI.
{"title":"The Effects of Geopolitical Risk on Foreign Direct Investment in a Transition Economy: Evidence from Vietnam","authors":"L. Truong, H. Friday, Tan Duy Pham","doi":"10.3390/jrfm17030101","DOIUrl":"https://doi.org/10.3390/jrfm17030101","url":null,"abstract":"Foreign direct investment (FDI) is a key driver of economic development of both developed and developing countries. Understanding and having insights into the factors that motivate increased FDI arevery important for both academics and policy makers. A key factor that multinationals incorporate in their decisions on FDI is geopolitical risk (GPR). Therefore, this study is devotedto investigating the short-term and long-term effects of GPR on FDI in Vietnam. Data used in this study are the yearly geopolitical risk index, FDI, and other control variables covering the period from 1986 to 2021. Using the autoregressive distributed lag (ARDL) bounds testing approach, the empirical results confirm that geopolitical risk (GPR) has a significantly negative effect on FDI in Vietnam in the longterm. Specifically, in the longterm, 1 percent increase in the GPR index is associated with 5.7983 percent decrease in Vietnam’s FDI. In addition, the results derived from the ARDL model indicate that in the shortterm, GPR has a significantly positive effect on the FDI for the one-year lag, meaning that an increase in the GPR index leads to an increase in FDI. Moreover, the results derived from the error correction model (ECM) indicate that 42.89% of the disequilibria from the previous year are converged and corrected back to the long-run equilibrium in the current year. Based on the findings, some policy implications are drawn for policymakers to mitigate the negative effects of GPR on FDI.","PeriodicalId":508146,"journal":{"name":"Journal of Risk and Financial Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140083730","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Extreme shocks, including climate change, economic sanctions, geopolitical conflicts, etc., are significant and complex issues currently confronting the global world. From the US–China perspective, this paper employs the DCC-DAGM model to investigate how diverse market risks asymmetrically affect return volatility, and extract correlations between stock indices and hedging assets. Then, diversified and hedging portfolios, constructed by optimal weight and hedge ratio, are investigated using multiple risk reduction measures. The empirical results highlight that, first, diverse risks exhibit an asymmetric effect on the return volatility in the long term, while in the short term, the US stock market is more sensitive to negative return shocks than the Chinese market. Second, risks impact correlations differently across time horizons and countries. Short-term correlations are stronger than long-term ones for the US market, with the Chinese stock market displaying more stable correlations. Third, the hedging strategy is more effective in reducing volatility and risk for US stocks, while the diversification strategy proves more effective for Chinese stocks. These findings have implications for market participants striving to make their portfolios robust during turbulent times.
{"title":"Double Asymmetric Impacts, Dynamic Correlations, and Risk Management Amidst Market Risks: A Comparative Study between the US and China","authors":"Yu Poshan, Haoran Xu, Jianing Chen","doi":"10.3390/jrfm17030099","DOIUrl":"https://doi.org/10.3390/jrfm17030099","url":null,"abstract":"Extreme shocks, including climate change, economic sanctions, geopolitical conflicts, etc., are significant and complex issues currently confronting the global world. From the US–China perspective, this paper employs the DCC-DAGM model to investigate how diverse market risks asymmetrically affect return volatility, and extract correlations between stock indices and hedging assets. Then, diversified and hedging portfolios, constructed by optimal weight and hedge ratio, are investigated using multiple risk reduction measures. The empirical results highlight that, first, diverse risks exhibit an asymmetric effect on the return volatility in the long term, while in the short term, the US stock market is more sensitive to negative return shocks than the Chinese market. Second, risks impact correlations differently across time horizons and countries. Short-term correlations are stronger than long-term ones for the US market, with the Chinese stock market displaying more stable correlations. Third, the hedging strategy is more effective in reducing volatility and risk for US stocks, while the diversification strategy proves more effective for Chinese stocks. These findings have implications for market participants striving to make their portfolios robust during turbulent times.","PeriodicalId":508146,"journal":{"name":"Journal of Risk and Financial Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140425332","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study explores the role of digital financial inclusion in mitigating poverty and bolstering economic growth, with a special focus on developing nations during the COVID-19 era. Centering on Jordan, it seeks to identify key influencers of financial access by analyzing data from 260 participants using a non-linear probit regression model. The research uncovers a significant disparity in financial inclusion between Jordanian adult males and females, attributable to differences in education, wealth, employment, and income levels. These findings point to the necessity of prioritizing financial accessibility for marginalized groups such as women, the elderly, and those with lower income to effectively combat poverty and facilitate economic advancement and sustainable development in emerging markets.
{"title":"Digital Financial Inclusion in Emerging Economies: Evidence from Jordan","authors":"Abdalla Al Khub, Mohamed Saeudy, A. Gerged","doi":"10.3390/jrfm17020066","DOIUrl":"https://doi.org/10.3390/jrfm17020066","url":null,"abstract":"This study explores the role of digital financial inclusion in mitigating poverty and bolstering economic growth, with a special focus on developing nations during the COVID-19 era. Centering on Jordan, it seeks to identify key influencers of financial access by analyzing data from 260 participants using a non-linear probit regression model. The research uncovers a significant disparity in financial inclusion between Jordanian adult males and females, attributable to differences in education, wealth, employment, and income levels. These findings point to the necessity of prioritizing financial accessibility for marginalized groups such as women, the elderly, and those with lower income to effectively combat poverty and facilitate economic advancement and sustainable development in emerging markets.","PeriodicalId":508146,"journal":{"name":"Journal of Risk and Financial Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139792098","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study explores the role of digital financial inclusion in mitigating poverty and bolstering economic growth, with a special focus on developing nations during the COVID-19 era. Centering on Jordan, it seeks to identify key influencers of financial access by analyzing data from 260 participants using a non-linear probit regression model. The research uncovers a significant disparity in financial inclusion between Jordanian adult males and females, attributable to differences in education, wealth, employment, and income levels. These findings point to the necessity of prioritizing financial accessibility for marginalized groups such as women, the elderly, and those with lower income to effectively combat poverty and facilitate economic advancement and sustainable development in emerging markets.
{"title":"Digital Financial Inclusion in Emerging Economies: Evidence from Jordan","authors":"Abdalla Al Khub, Mohamed Saeudy, A. Gerged","doi":"10.3390/jrfm17020066","DOIUrl":"https://doi.org/10.3390/jrfm17020066","url":null,"abstract":"This study explores the role of digital financial inclusion in mitigating poverty and bolstering economic growth, with a special focus on developing nations during the COVID-19 era. Centering on Jordan, it seeks to identify key influencers of financial access by analyzing data from 260 participants using a non-linear probit regression model. The research uncovers a significant disparity in financial inclusion between Jordanian adult males and females, attributable to differences in education, wealth, employment, and income levels. These findings point to the necessity of prioritizing financial accessibility for marginalized groups such as women, the elderly, and those with lower income to effectively combat poverty and facilitate economic advancement and sustainable development in emerging markets.","PeriodicalId":508146,"journal":{"name":"Journal of Risk and Financial Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139852348","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Tobias Schütze, Ulrich Schmidt, Carsten Spitzer, Philipp C. Wichardt
Financial decision making requires a sound handling of chance events. However, various studies have suggested that people are prone to illusion of control, i.e., the belief that prospects of a chancy event are better if they are involved in the randomisation process. This paper reports results from an experiment (N=420) suggesting that psychological characteristics moderate risk-taking behaviour under such circumstances. For example, we find that subjects high in sensation seeking buy more tickets of a risky lottery if they determine the winning numbers themselves and the random event lies in the future. The findings suggest that “illusion of control” effects are at least partly driven by underlying (idiosyncratic) emotions/preferences rather than an actual belief in control. Regarding applications, the results emphasise the importance of individual characteristics for the behaviour of decision makers in a financial context.
{"title":"Illusion of Control: Psychological Characteristics as Moderators in Financial Decision Making","authors":"Tobias Schütze, Ulrich Schmidt, Carsten Spitzer, Philipp C. Wichardt","doi":"10.3390/jrfm17020065","DOIUrl":"https://doi.org/10.3390/jrfm17020065","url":null,"abstract":"Financial decision making requires a sound handling of chance events. However, various studies have suggested that people are prone to illusion of control, i.e., the belief that prospects of a chancy event are better if they are involved in the randomisation process. This paper reports results from an experiment (N=420) suggesting that psychological characteristics moderate risk-taking behaviour under such circumstances. For example, we find that subjects high in sensation seeking buy more tickets of a risky lottery if they determine the winning numbers themselves and the random event lies in the future. The findings suggest that “illusion of control” effects are at least partly driven by underlying (idiosyncratic) emotions/preferences rather than an actual belief in control. Regarding applications, the results emphasise the importance of individual characteristics for the behaviour of decision makers in a financial context.","PeriodicalId":508146,"journal":{"name":"Journal of Risk and Financial Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139796798","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The purpose of this study is to verify whether the transportation infrastructure investment carried out by the Asian Infrastructure Investment Bank (AIIB) has promoted the economic development of its recipient countries. Since the establishment of the AIIB, its investments in infrastructure development, aimed at promoting economic growth in Asian developing countries, have garnered considerable attention. This study selects India, the largest recipient country of the AIIB, as the research object and chooses the Gujarat Road Project as the research case, since it is a completed infrastructure construction investment project in the transportation field. This paper provides an overview of the project’s operation and summarizes key factors in the project’s implementation. In the data analysis section, the per capita GDP is selected as the explained variable to measure economic development, and the LASSO regression method is used to select several variables that affect economic development. Moreover, the random forest model is used to obtain the causal relationship between road construction and the per capita GDP from 2001 to 2022. The results indicate that road construction in India has a significant positive effect on per capita GDP growth, the Gujarat Road Project supported by the AIIB also has a positive effect on per capita GDP growth, and this effect is stronger than that at the national level. The main contribution of this work is the validation of the investment strategy of the AIIB and the quantification of the economic contribution of AIIB investment projects to the local area.
本研究的目的是验证亚洲基础设施投资银行（AIIB）进行的交通基础设施投资是否促进了受援国的经济发展。自亚洲基础设施投资银行成立以来，其旨在促进亚洲发展中国家经济增长的基础设施建设投资已引起广泛关注。本研究选择亚洲基础设施投资银行最大的受援国印度作为研究对象，并选择古吉拉特邦公路项目作为研究案例，因为该项目是一个已完成的交通领域基础设施建设投资项目。本文概述了该项目的运营情况，并总结了项目实施过程中的关键因素。在数据分析部分，本文选取人均 GDP 作为衡量经济发展的被解释变量，并使用 LASSO 回归法选取了影响经济发展的几个变量。此外，还使用随机森林模型得出 2001 年至 2022 年公路建设与人均 GDP 之间的因果关系。结果表明，印度的道路建设对人均 GDP 增长有显著的正向影响，由亚洲基础设施投资银行支持的古吉拉特邦道路项目也对人均 GDP 增长有正向影响，且这种影响强于国家层面的影响。这项工作的主要贡献在于验证了亚洲国际投资银行的投资战略，并量化了亚洲国际投资银行投资项目对当地的经济贡献。
{"title":"AIIB Investment and Economic Development of India: The Case of the Gujarat Road Project","authors":"Jinxi Chen, Bowen Cai","doi":"10.3390/jrfm17020064","DOIUrl":"https://doi.org/10.3390/jrfm17020064","url":null,"abstract":"The purpose of this study is to verify whether the transportation infrastructure investment carried out by the Asian Infrastructure Investment Bank (AIIB) has promoted the economic development of its recipient countries. Since the establishment of the AIIB, its investments in infrastructure development, aimed at promoting economic growth in Asian developing countries, have garnered considerable attention. This study selects India, the largest recipient country of the AIIB, as the research object and chooses the Gujarat Road Project as the research case, since it is a completed infrastructure construction investment project in the transportation field. This paper provides an overview of the project’s operation and summarizes key factors in the project’s implementation. In the data analysis section, the per capita GDP is selected as the explained variable to measure economic development, and the LASSO regression method is used to select several variables that affect economic development. Moreover, the random forest model is used to obtain the causal relationship between road construction and the per capita GDP from 2001 to 2022. The results indicate that road construction in India has a significant positive effect on per capita GDP growth, the Gujarat Road Project supported by the AIIB also has a positive effect on per capita GDP growth, and this effect is stronger than that at the national level. The main contribution of this work is the validation of the investment strategy of the AIIB and the quantification of the economic contribution of AIIB investment projects to the local area.","PeriodicalId":508146,"journal":{"name":"Journal of Risk and Financial Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139854896","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Tobias Schütze, Ulrich Schmidt, Carsten Spitzer, Philipp C. Wichardt
Financial decision making requires a sound handling of chance events. However, various studies have suggested that people are prone to illusion of control, i.e., the belief that prospects of a chancy event are better if they are involved in the randomisation process. This paper reports results from an experiment (N=420) suggesting that psychological characteristics moderate risk-taking behaviour under such circumstances. For example, we find that subjects high in sensation seeking buy more tickets of a risky lottery if they determine the winning numbers themselves and the random event lies in the future. The findings suggest that “illusion of control” effects are at least partly driven by underlying (idiosyncratic) emotions/preferences rather than an actual belief in control. Regarding applications, the results emphasise the importance of individual characteristics for the behaviour of decision makers in a financial context.
{"title":"Illusion of Control: Psychological Characteristics as Moderators in Financial Decision Making","authors":"Tobias Schütze, Ulrich Schmidt, Carsten Spitzer, Philipp C. Wichardt","doi":"10.3390/jrfm17020065","DOIUrl":"https://doi.org/10.3390/jrfm17020065","url":null,"abstract":"Financial decision making requires a sound handling of chance events. However, various studies have suggested that people are prone to illusion of control, i.e., the belief that prospects of a chancy event are better if they are involved in the randomisation process. This paper reports results from an experiment (N=420) suggesting that psychological characteristics moderate risk-taking behaviour under such circumstances. For example, we find that subjects high in sensation seeking buy more tickets of a risky lottery if they determine the winning numbers themselves and the random event lies in the future. The findings suggest that “illusion of control” effects are at least partly driven by underlying (idiosyncratic) emotions/preferences rather than an actual belief in control. Regarding applications, the results emphasise the importance of individual characteristics for the behaviour of decision makers in a financial context.","PeriodicalId":508146,"journal":{"name":"Journal of Risk and Financial Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139856511","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The purpose of this study is to verify whether the transportation infrastructure investment carried out by the Asian Infrastructure Investment Bank (AIIB) has promoted the economic development of its recipient countries. Since the establishment of the AIIB, its investments in infrastructure development, aimed at promoting economic growth in Asian developing countries, have garnered considerable attention. This study selects India, the largest recipient country of the AIIB, as the research object and chooses the Gujarat Road Project as the research case, since it is a completed infrastructure construction investment project in the transportation field. This paper provides an overview of the project’s operation and summarizes key factors in the project’s implementation. In the data analysis section, the per capita GDP is selected as the explained variable to measure economic development, and the LASSO regression method is used to select several variables that affect economic development. Moreover, the random forest model is used to obtain the causal relationship between road construction and the per capita GDP from 2001 to 2022. The results indicate that road construction in India has a significant positive effect on per capita GDP growth, the Gujarat Road Project supported by the AIIB also has a positive effect on per capita GDP growth, and this effect is stronger than that at the national level. The main contribution of this work is the validation of the investment strategy of the AIIB and the quantification of the economic contribution of AIIB investment projects to the local area.
本研究的目的是验证亚洲基础设施投资银行（AIIB）进行的交通基础设施投资是否促进了受援国的经济发展。自亚洲基础设施投资银行成立以来，其旨在促进亚洲发展中国家经济增长的基础设施建设投资已引起广泛关注。本研究选择亚洲基础设施投资银行最大的受援国印度作为研究对象，并选择古吉拉特邦公路项目作为研究案例，因为该项目是一个已完成的交通领域基础设施建设投资项目。本文概述了该项目的运营情况，并总结了项目实施过程中的关键因素。在数据分析部分，本文选取人均 GDP 作为衡量经济发展的被解释变量，并使用 LASSO 回归法选取了影响经济发展的几个变量。此外，还使用随机森林模型得出 2001 年至 2022 年公路建设与人均 GDP 之间的因果关系。结果表明，印度的道路建设对人均 GDP 增长有显著的正向影响，由亚洲基础设施投资银行支持的古吉拉特邦道路项目也对人均 GDP 增长有正向影响，且这种影响强于国家层面的影响。这项工作的主要贡献在于验证了亚洲国际投资银行的投资战略，并量化了亚洲国际投资银行投资项目对当地的经济贡献。
{"title":"AIIB Investment and Economic Development of India: The Case of the Gujarat Road Project","authors":"Jinxi Chen, Bowen Cai","doi":"10.3390/jrfm17020064","DOIUrl":"https://doi.org/10.3390/jrfm17020064","url":null,"abstract":"The purpose of this study is to verify whether the transportation infrastructure investment carried out by the Asian Infrastructure Investment Bank (AIIB) has promoted the economic development of its recipient countries. Since the establishment of the AIIB, its investments in infrastructure development, aimed at promoting economic growth in Asian developing countries, have garnered considerable attention. This study selects India, the largest recipient country of the AIIB, as the research object and chooses the Gujarat Road Project as the research case, since it is a completed infrastructure construction investment project in the transportation field. This paper provides an overview of the project’s operation and summarizes key factors in the project’s implementation. In the data analysis section, the per capita GDP is selected as the explained variable to measure economic development, and the LASSO regression method is used to select several variables that affect economic development. Moreover, the random forest model is used to obtain the causal relationship between road construction and the per capita GDP from 2001 to 2022. The results indicate that road construction in India has a significant positive effect on per capita GDP growth, the Gujarat Road Project supported by the AIIB also has a positive effect on per capita GDP growth, and this effect is stronger than that at the national level. The main contribution of this work is the validation of the investment strategy of the AIIB and the quantification of the economic contribution of AIIB investment projects to the local area.","PeriodicalId":508146,"journal":{"name":"Journal of Risk and Financial Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139794782","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The study examines the return performance and resilience to market volatility of the recently introduced environment, social/sustainable, and governance (ESG) weight-tilted Hang Seng index compared to its parent, the Hang Seng index. The ESG-infused index has a higher mean return and lower return volatility than the parent index, although the differences are statistically and economically insignificant, a result consistent with the high correlation between the two index returns. Most importantly, the ESG weight-tilted index is more resilient to volatility spikes than the parent index and, therefore, has lower downside risks. The overall results show that stocks with high ESG ratings are less susceptible to trading pressures triggered by volatility-induced turnovers. The paper contributes to the literature by providing significant incremental information on the emerging market for ESG-related equity products in Hong Kong.
{"title":"The Impact of ESG Rating on Hedging Downside Risks: Evidence from a Weight-Tilted Hang Seng Index","authors":"Joseph K. W. Fung, F. Y. E. Lam, Yiuman Tse","doi":"10.3390/jrfm17020057","DOIUrl":"https://doi.org/10.3390/jrfm17020057","url":null,"abstract":"The study examines the return performance and resilience to market volatility of the recently introduced environment, social/sustainable, and governance (ESG) weight-tilted Hang Seng index compared to its parent, the Hang Seng index. The ESG-infused index has a higher mean return and lower return volatility than the parent index, although the differences are statistically and economically insignificant, a result consistent with the high correlation between the two index returns. Most importantly, the ESG weight-tilted index is more resilient to volatility spikes than the parent index and, therefore, has lower downside risks. The overall results show that stocks with high ESG ratings are less susceptible to trading pressures triggered by volatility-induced turnovers. The paper contributes to the literature by providing significant incremental information on the emerging market for ESG-related equity products in Hong Kong.","PeriodicalId":508146,"journal":{"name":"Journal of Risk and Financial Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140473240","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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