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The role of uncertainties on sustainable stocks and green bonds

Efe Caglar Cagli (Department of Business Administration, Dokuz Eylul University, Izmir, Turkey)
Dilvin Taşkin (Faculty of Business, Yasar University, Izmir, Turkey)
Pınar Evrim Mandaci (Department of Business Administration, Dokuz Eylul University, Izmir, Turkey)

Qualitative Research in Financial Markets

ISSN: 1755-4179

Article publication date: 20 December 2022

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Abstract

Purpose

This paper aims to investigate the relationship between sustainable investments and a series of uncertainties from January 2014 to December 2021, including many economic and political turbulences and the COVID-19 pandemic.

Design/methodology/approach

The authors use Rényi’s transfer entropy method, a nonparametric flexible tool that considers both the center distribution and lower quantiles, capturing extreme rare events that give additional insights to analysis.

Findings

The authors’ results indicate significant bidirectional information transmissions between the crude oil volatility and sustainability indices. The authors report information flows between the cryptocurrency uncertainty and sustainability indices considering tail events. The results are essential for market participants making decisions during turbulent times.

Originality/value

This paper is carried out for a variety of uncertainty measures and environmental, social and governance (ESG) portfolios of both developed and developing markets. It adds to literature in terms of methodology used. Rényi’s transfer entropy methodology is first used to measure the relationship between uncertainties and ESG investments.

Keywords

Citation

Cagli, E.C., Taşkin, D. and Evrim Mandaci, P. (2022), "The role of uncertainties on sustainable stocks and green bonds", Qualitative Research in Financial Markets, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/QRFM-02-2022-0032

Publisher

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Emerald Publishing Limited

Copyright © 2022, Emerald Publishing Limited

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