Abstract
We analyze tail risk dependence between Green Investment Funds (GIFs) and climate risks, emphasizing diversification benefits, safe-haven, and hedge features from 2009 to 2022. Our methodology, using AGDCC-GARCH, time-varying optimal copula (TVOC), and conditional diversification benefits (CDB), reveal various tail dependence regimes, showcasing the role of GIFs in extreme climate events. Symmetrical co-movement, observed during COVID-19 and Russia-Ukraine war, indicates no asymmetric tail dependence. Notably, GIFs offer substantial diversification benefits against climate risks, providing insights for investors and policymakers to formulate proactive strategies in line with sustainability goals.
| Original language | English |
|---|---|
| Article number | 104961 |
| Journal | Finance Research Letters |
| Volume | 60 |
| DOIs | |
| Publication status | Published - Feb 2024 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 13 Climate Action
Keywords
- Climate physical risk
- Climate transition risk
- Green Investment Funds
- TVOC
ASJC Scopus subject areas
- Finance
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