Journal article
Similarities among equities returns in multi-frequencies: insights from sustainable responsible investing
Journal of sustainable finance & investment, Vol.ahead-of-print, pp.1-23
11/08/2022
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Abstract
The degree to which corporations benefit from social welfare has induced increasing attention, enjoining corporations to act in a socially responsible manner. The sustainability investing landscape has witnessed rapid ramifications over the years, but with fewer empirical studies relative to the conventional way of investing. Regarding the extent of financial markets inefficiency, we probe into the degree of similarities among sustainability equities returns at multi-frequencies. Twenty samples of sustainability equity indices from various regional blocs, advanced markets and global indices are utilised. To achieve the study's purpose, we employ the I-CEEMDAN based cluster analysis with Pearson product-moment correlation coefficient, Kendall tau-b, variances and correlation matrix as the estimation techniques. It was found that sustainability equities returns demonstrate similar behaviour at both the individual equities and pairwise levels for most frequencies. However, the similarities do not persist across investment horizons revealing markets inefficiency in sustainable responsible investing (SRI). The study concludes that the dynamics of sustainability equities returns are frequency-dependent. Therefore, it is recommended that investors should make better investment decisions in the short-, medium-, and long-term if they seek to exploit the markets. Additionally, the similar dynamics of connectedness among related pairs enhances similar policy dissemination for SRI globally.
Details
- Title
- Similarities among equities returns in multi-frequencies: insights from sustainable responsible investing
- Creators
- Emmanuel Asafo-Adjei - University of Cape CoastAnokye Mohammed Adam - University of Cape CoastClement Lamboi Arthur - Cardiff Metropolitan UniversityBaba Adibura Seidu - University of Professional StudiesRazak Mohammed Gyasi - African Population and Health Research Center
- Publication Details
- Journal of sustainable finance & investment, Vol.ahead-of-print, pp.1-23
- Publisher
- Earthscan Ltd.
- Identifiers
- 991013054667502368
- Copyright
- © 2022 Informa UK Limited, trading as Taylor & Francis Group
- Academic Unit
- National Centre for Naturopathic Medicine
- Language
- English
- Resource Type
- Journal article