Sustainable investing in emerging markets: Evidence from the Sustainable Stock Exchanges initiative
研究了新兴市场可持续证券交易所伙伴交易所的可持续指数表现，发现某些地区可获得更高风险调整收益并改善投资组合多样化。
Abstract In the rapidly growing world of sustainable finance, emerging markets saw a recent surge in their market share, which underscored the increasing investor appetite for environmental, social, and governance (ESG) products. In the literature on sustainable investing, most studies have focused on developed markets, and there are relatively few studies that have concentrated on emerging markets. To fill this research gap, we study sustainable investing in emerging markets, by examining the comparative performance of the sustainability indices in the partner exchanges of the Sustainable Stock Exchanges (SSE) initiative from emerging markets. In particular, we investigate three key issues that are of concern to most investors: (i) can the investment strategy of investing together in the themes of sustainability and emerging markets outperform the global sustainability benchmark? (ii) can this strategy outperform the global benchmark for emerging markets? (iii) can it improve portfolio diversification? Overall, our time series analysis and Monte Carlo simulation reveal the heterogeneity in sustainable investment performance across the world, and suggest the potential of obtaining superior risk‐adjusted returns in certain regions while benefiting from portfolio diversification.