2 documents found, page 1 of 1
Return connectedness and portfolio implications of green equities: A comparison...
Nasir Nadeem; Imran Abbas Jadoon; Faheem Aslam; Paulo FerreiraThe notable expansion of the green equity market has opened up new avenues for investment for market participants. This study looks at return connectedness, and the implications for portfolio management of green sector equities, and compares the performance of green and traditional investments. To achieve the research objectives, this study uses the TVP-VAR model along with portfolio strategies such as minimum ...
Time-frequency connectedness and volatility spillovers among green equity secto...
Nasir Nadeem; Imran Abbas Jadoon; Faheem Aslam; Paulo FerreiraInvestment in green equity market is growing more specifically after COVID-19 due to rising awareness of climate and environmental issues. Investors and policymakers require updated information about the connectedness and shock spillover pattern among green sectors to manage portfolios effectively. The novel TVP–VAR frequency connectedness approach is applied to daily volatility series of green equity indices t...