ESG investment: What do we learn from its interaction with stock, currency and commodity markets?
研究了ESG投资组合与常规及道德股票、汇率和商品价格之间的因果关系，发现短期到中期存在显著双向因果，长期较弱，对投资组合配置和避险策略有启示。
Abstract This paper examines ESG portfolio's causal relationship with conventional and ethical equity prices, exchange rates and commodity prices. Using multi‐scale wavelet decomposition, asset returns are decomposed into three timescales (short‐, medium‐ and long‐term), and a three‐step filtered framework is used to explore dynamic non‐linear linkages. We document significant bidirectional causal relationship between ESG, conventional and ethical equity portfolio returns. While the causality persists from the short‐ to medium‐term, it is relatively weaker in the long‐term. We further observe statistically significant causality running from ESG portfolio returns to currency and commodity returns. This causality is strongest in the short‐term, turns weaker in the medium‐term and, in some instances, disappears in the long‐term. These results are generally robust for the use of original returns and VAR‐filtered returns. However, as we control for conditional heteroskedasticity in the return series, the causality appears weaker particularly between ESG portfolio and commodity returns. Our results have important implications for planning portfolio allocation and devising hedging and diversification strategies.