Fabozzi, Frank J, Tunaru, Diana E and Tunaru, Radu S (2022) The interconnectedness between green finance indexes and other important financial variables. The Journal of Portfolio Management. jpm.2022.1.392 1-23. ISSN 0095-4918

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Abstract

In this article, the authors explore the degree of interconnectedness between stock indexes adjusted for green revenues of companies from major economies and various other important macroeconomic and financial variables. For the most complex model considered, the analysis indicates that the green revenue index for China is directly related to the green revenue indexes of the US, Europe and UK, only to Apple but not to Microsoft, and to none of the macroeconomic variables included in the study. The analysis shows that gold price risk is orthogonal on climate change risk. Oil prices and international bond prices seem to impact the green revenues of companies in China and the UK only through the related green revenues of the intermediary companies in the US and Europe.

Item Type:	Article
Schools and Departments:	University of Sussex Business School > Accounting and Finance
SWORD Depositor:	Mx Elements Account
Depositing User:	Mx Elements Account
Date Deposited:	06 Sep 2022 09:14
Last Modified:	06 Sep 2022 09:57
URI:	http://sro.sussex.ac.uk/id/eprint/107718

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