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Erschienen in:
2021 | OriginalPaper | Buchkapitel
3. Measuring Tail Dependencies Between ESG and Renewable Energy Stocks: A Copula Approach
verfasst von : Xie He, Guizhou Liu, Shigeyuki Hamori
Erschienen in: ESG Investment in the Global Economy
Verlag: 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).