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2021 | OriginalPaper | Chapter

3. Measuring Tail Dependencies Between ESG and Renewable Energy Stocks: A Copula Approach

Authors : Xie He, Guizhou Liu, Shigeyuki Hamori

Published in: ESG Investment in the Global Economy

Publisher: Springer Singapore

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Abstract

As a sustainable and responsible investment (SRI), this research aims to measure the tail dependencies between investment in companies that have the highest environmental, social, and governance (ESG) rated performance and renewable energy companies based on the copula approach, which is crucial to monitoring systemic and extreme risks between two assets. Meanwhile, we evaluate whether renewable energy stock investors can effectively increase their portfolio performance by constructing a portfolio with the best ESG companies. The results reveal that tail dependence between ESG stocks and renewable energy stocks had been volatile during most periods. However, the strengthening trend could also be found when some extreme events occurred. On the other hand, we found that ESG stocks can effectively benefit renewable energy stock portfolios by improving risk-adjusted returns and lowering the standard deviation, value-at-risk (VaR), and conditional value-at-risk (CVaR).　

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Title: Measuring Tail Dependencies Between ESG and Renewable Energy Stocks: A Copula Approach
Authors: Xie He
Guizhou Liu
Shigeyuki Hamori
Publisher: Springer Singapore
Book: ESG Investment in the Global Economy
Print ISBN: 978-981-16-2992-1

Electronic ISBN: 978-981-16-2990-7

Copyright Year: 2021
DOI: https://doi.org/10.1007/978-981-16-2990-7_3

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