Dynamic risk connectedness of crude oil price and sustainable investment in the United States: evidence from DCC-GARCH
Loading...
Date
2023
Journal Title
Journal ISSN
Volume Title
Publisher
Springer
Access Rights
info:eu-repo/semantics/embargoedAccess
Abstract
Sustainable investment is widely regarded as an important market-based approach to achieving inclusive green growth. To
achieve the inclusive green growth objective, companies providing sustainable products must be proftable enough to attract
private capital. Oil price changes can however afect the proftability of such companies. This study assesses volatility
transmission between crude oil prices and sustainable investment in the USA. Using the dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (DCC-GARCH) method, daily data from September 28, 2012, to
October 19, 2022, is analyzed. There are several key fndings from this analysis. The risk connectedness of crude oil and
sustainable investment is found to vary with time. Results further show that the risk connectedness increases in periods
of important economic and geopolitical events. The greatest risk connectedness of crude oil and sustainable investment is
observed during the outbreak of coronavirus disease (COVID-19). Moreover, the result shows that crude oil is the main
risk transmitter, whereas, both the energy efciency and pollution mitigation indices (i.e., sustainable investment) are risk
receivers, and crude oil is constantly dominating sustainable investment. The study fndings provide valuable insights for
investors and policymakers alike.
Description
Keywords
USA, Crude oil, Sustainable investment, Dynamic risk connectedness, DCC-GARCH
Journal or Series
Environmental Science and Pollution Research
WoS Q Value
N/A
Scopus Q Value
N/A
Volume
30
Issue
41
