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Long-run memory in ethical and conventional investments. Novel evidence from a VAR(1)-FIEGARCH model

Author

Listed:
  • Athanasios Koulakiotis

    (University of Macedonia)

  • Vassilios Babalos

    (University of Peloponnese)

  • Apostolos Kiohos

    (University of Macedonia)

  • Maria I. Kyriakou

    (International Hellenic University)

Abstract

Within a VAR(1)-FIEGARCH framework, we explore the dynamic impact of uncertainty as measured by US Economic Policy Uncertainty Index on the level of fractional integration of ethical investments and conventional investments for Europe, the American and Asia-Pacific market. Our results reveal that both spillovers and policy uncertainty appear to capture a significant part of the returns fractional integration process for ethical and conventional investments. Overall, our results support the view that ethical and conventional investments returns conform to a fractionally integrated process. Our results entail significant policy implications for investors who seek profitable trading strategies.

Suggested Citation

  • Athanasios Koulakiotis & Vassilios Babalos & Apostolos Kiohos & Maria I. Kyriakou, 2020. "Long-run memory in ethical and conventional investments. Novel evidence from a VAR(1)-FIEGARCH model," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(3), pages 563-569, July.
    • Handle: RePEc:spr:jecfin:v:44:y:2020:i:3:d:10.1007_s12197-019-09502-7
    DOI: 10.1007/s12197-019-09502-7
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    References listed on IDEAS

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    More about this item

    Keywords

    Ethical investments; Policy uncertainty; Risk analysis; Fractional integration;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G1 - Financial Economics - - General Financial Markets

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