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Understanding the relationship between impact investment firms and market volatility: An analysis of European impact firms amidst COVID-19 and ongoing conflict
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Autores
Orientador(es)
Resumo(s)
The past decade has been marked by significant social and racial inequalities, global conflicts,
climate challenges, and the ongoing repercussions of the COVID-19 pandemic. Amid these
issues, the growth and development of impact investing signal a substantial shift in the
investment landscape, suggesting a promising future where investments that drive positive
social and environmental change will be crucial in addressing major global problems. Despite
the rapid evolution of impact investing, existing research on the financial performance and
risk associated with these investments presents a variety of perspectives. This paper employs
Dynamic Conditional Correlation GARCH modelling to analyse the time-varying volatility and
correlation dynamics between European Impact Firms and European market reference
indices, including the STOXX Europe 600 Index and volatility indices such as the EURO STOXX
50 Volatility and DAX-New Volatility Indices. The analysis is conducted across three distinct
periods: pre-COVID-19, during COVID-19, and the pandemic-war period, encompassing the
pandemic and the ongoing conflict. Our findings suggest potential short-term diversification
and risk-hedging benefits for EU impact firms, while long-term volatility contagion highlights
the substantial and persistent impact of market volatility on these firms over extended
periods.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
Palavras-chave
Impact investing Volatility COVID-19 Diversification DCC-GARCH model SDG 4 - Quality education SDG 16 - Peace, justice and strong institutions SDG 17 - Partnerships for the goals