Diversification and optimal hedges for socially responsible investment in Brazil
This study contributes to the literature on socially responsible investing by examining the diversification potential of commodities, specifically oil, gold and clean energy together with the Brazilian Corporate Sustainability Index (ISE). Multivariate GARCH models are used to model volatility spill...
| Autores: | , , , |
|---|---|
| Tipo de recurso: | artículo |
| Fecha de publicación: | 2020 |
| País: | España |
| Institución: | Universidad de Santiago de Compostela (USC) |
| Repositorio: | Minerva. Repositorio Institucional de la Universidad de Santiago de Compostela |
| Idioma: | inglés |
| OAI Identifier: | oai:minerva.usc.gal:10347/38033 |
| Acceso en línea: | https://hdl.handle.net/10347/38033 |
| Access Level: | acceso abierto |
| Palabra clave: | Volatility spillovers ISE Hedging A-DCC A-BEKK OVX |
| Sumario: | This study contributes to the literature on socially responsible investing by examining the diversification potential of commodities, specifically oil, gold and clean energy together with the Brazilian Corporate Sustainability Index (ISE). Multivariate GARCH models are used to model volatility spillovers and conditional correlation in pairs of stocks containing ISE. Specifically, A-BEKK and A-DCC models with spillovers are estimated. The models’ results are used to compute and analyze the optimal weights and hedge ratios for stock portfolio holdings. The greatest benefit from diversification is obtained through the acquisition of gold and then OVX. |
|---|