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Article
Publication date: 23 January 2024

Hugo Alvarez-Perez, Regina Diaz-Crespo and Luis Gutierrez-Fernandez

This study aims to examine the performance of environmental, social and governance (ESG) equity indices in Latin America (LA), evaluating their risk-return characteristics in…

Abstract

Purpose

This study aims to examine the performance of environmental, social and governance (ESG) equity indices in Latin America (LA), evaluating their risk-return characteristics in comparison to conventional benchmark indices.

Design/methodology/approach

Using a quantitative empirical approach, the authors analyze ESG equity indices from Brazil, Mexico, Chile, Peru and Colombia, employing metrics such as Sharpe, Sortino and Omega ratios to measure risk-adjusted returns. Regression analysis is employed to assess the replicability of ESG indices by benchmark indices. Monte Carlo simulations are conducted to explore the potential increase in risk-adjusted returns when ESG equity indices are incorporated into portfolios.

Findings

The study addresses critical questions for investors: Can ESG indices outperform their benchmarks? Can these ESG indices be replicated by benchmark counterparts? Do ESG equity indices enhance portfolio diversification? The findings reveal that investing in ESG indices has the potential to enhance risk-adjusted returns and portfolio diversification.

Research limitations/implications

While this study focuses on various LA economies, it’s important to note variations in currency and volatility.

Practical implications

For investors in LA, this study highlights the importance of considering ESG indices as part of their investment strategies. While not all ESG indices outperform conventional ones, some may improve diversification and risk-adjusted performance. Investors should carefully assess market-specific conditions and national factors when making investment decisions.

Originality/value

The primary contribution of this study is its focus on LA countries in the examination of diverse portfolios. The research provides valuable insights into the performance of ESG indices in this region compared to conventional benchmark indices. This approach addresses an important gap in the existing literature and offers a more comprehensive perspective on ESG investing and portfolio diversification.

Propósito

Se examina el rendimiento de los índices-ESG en América Latina (AL), evaluando sus características de riesgo y retorno en comparación con los índices convencionales.

Diseño/metodología/enfoque:

Utilizando un enfoque cuantitativo, analizamos los índices-ESG de Brasil, México, Chile, Perú y Colombia, empleando ratios de Sharpe, Sortino y Omega para medir los rendimientos ajustados al riesgo. Se utiliza análisis de regresión para evaluar la replicabilidad de los índices-ESG por parte de los índices de referencia. Se realizan simulaciones de Monte-Carlo para explorar el aumento en los rendimientos ajustados al riesgo cuando se incorporan los índices-ESG en las carteras.

Hallazgos:

El estudio aborda preguntas críticas: ¿Pueden los índices-ESG superar a sus índices de referencia? ¿Pueden estos índices-ESG ser replicados por sus contrapartes de referencia? ¿Mejoran los índices-ESG la diversificación de las carteras? Los hallazgos revelan que la inversión en índices-ESG tiene el potential de mejorar los rendimientos y la diversificación de las carteras de inversión.

Limitaciones/implicaciones de la investigación –

Aunque este estudio se centra en diversas economías de AL, es importante tener en cuenta variaciones en moneda y volatilidad.

Originalidad/valor:

La principal contribución de este estudio radica en su enfoque en países de AL en el examen de carteras diversas; ofrece valiosos conocimientos sobre el rendimiento de los índices-ESG en esta región en comparación con los índices convencionales.

Article
Publication date: 27 September 2023

Susovon Jana and Tarak Nath Sahu

This study aims to investigate the possibilities of cryptocurrencies as hedges and diversifiers in the Indian stock market before and during financial crisis due to the pandemic…

Abstract

Purpose

This study aims to investigate the possibilities of cryptocurrencies as hedges and diversifiers in the Indian stock market before and during financial crisis due to the pandemic and the Russia–Ukraine war.

Design/methodology/approach

Researchers have used daily data on cryptocurrencies and Indian stock prices from March 10, 2015 to August 26, 2022. The researchers have used the dynamic conditional correlations (DCC)-GARCH model to determine the volatility spillover and dynamic correlation between stocks and digital currencies. Further, researchers have explored hedge ratio, portfolio weight and hedging effectiveness using the estimates of the DCC-GARCH model.

Findings

The findings indicate a negative conditional correlation between equities and cryptocurrencies before the crisis and a positive conditional correlation except for Tether during the crisis. Which implies that cryptocurrencies serve as a hedging asset in the stock market before a crisis but are not more than a diversifier during the crisis, except for Tether. Notably, Tether serves as a safe haven during times of crisis. Finally, the study suggests that Bitcoin, Ethereum, Binance Coin and Ripple are the most effective diversifiers for Indian stocks during the crisis.

Originality/value

This study makes several contributions to the existing literature. First, it compares the hedge and diversification roles of cryptocurrencies in the Indian stock market before and during crisis. Second, the study findings provide insights on risk hedging and can serve as a guide for investors. Third, it may help rational investors avoid underestimating risk while constructing portfolios, particularly in times of financial turmoil.

Details

Journal of Financial Economic Policy, vol. 15 no. 6
Type: Research Article
ISSN: 1757-6385

Keywords

Article
Publication date: 15 June 2023

Emerson Taylor and Chern Li Liew

Researchers in information studies have examined fictional depictions of libraries in various mediums because these images can reflect and influence real-life experiences and…

Abstract

Purpose

Researchers in information studies have examined fictional depictions of libraries in various mediums because these images can reflect and influence real-life experiences and attitudes. Video games, despite being relatively overlooked, are increasingly culturally relevant and can indicate library users' real needs and desires. This study investigates the ways in which video games depict characters using libraries to seek and use information.

Design/methodology/approach

A qualitative content analysis approach incorporating methods from information studies and game studies was applied. Tancheva's (2005) semiotic analysis of fictional libraries and Carr's (2019) textual approach provided the framing for the unique aspects of video games and their meanings. Carroll (2021)'s character analysis and Chatman (1996)'s theory on insiders–outsiders dynamic underpinned the data collection and analysis. The purposive sample included 15 video games released since 2010.

Findings

Video games depict game characters visiting libraries to solve short-term problems, to gain knowledge to improve themselves or to bond with others. Protagonists are often depicted as adventurers or outsiders who must adapt to unfamiliar places and situations to achieve their wider objectives. In these games, libraries provide useful documents, spaces or helpful guides and intellectuals who assist the protagonists. As outsiders, the protagonists seek information in libraries to help them learn about their environments and to immerse themselves in the local histories and cultures in their worlds. Overall, these depictions highlight both short- and long-term benefits of library use.

Originality/value

As with existing studies, the ways in which fictional library use appear in video games can suggest real needs and desires among library users. The findings from this study emphasise the importance of library services and spaces that help users both address short-term problems and immerse themselves in local concerns, with longer-term goals. Applying different research methods or lenses to analysing video games could deepen our understanding of what library users think and feel when they seek and use information in libraries.

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