The Resilience of the Socially Responsible Investment Networks

24 Pages Posted: 25 Jun 2020 Last revised: 5 Aug 2020

See all articles by Roy Cerqueti

Roy Cerqueti

University Sapienza Rome

Rocco Ciciretti

Tor Vergata University of Rome - Department of Economics and Finance

Ambrogio Dalò

University of Gronigen - Faculty of Economics and Business

Marco Nicolosi

University of Perugia - Department of Economics

Date Written: June 17, 2020

Abstract

A network model is introduced and developed to compare portfolios of funds which are high ranked in Environmental Social and Governance (ESG) aspects with those with a poor ESG compliance. The nodes in the network represent funds and the edges are weighted on the basis of the capitalization due to the common components of the connected nodes. We specifically deal with the reactions of the considered financial networks to exogenous shocks of negative financial nature. To this aim, we provide a novel definition of the resilience of a financial network in terms of stability of its community structure. We test the theoretical proposal on different networks characterized by different ESG scores. We find that the high ranked funds networks are more resilient than the corresponding networks of low ranked funds.

Keywords: Socially Responsible Investments, ESG criteria, Investment Funds, Financial networks, Resilience.

JEL Classification: G32, C02

Suggested Citation

Cerqueti, Roy and Ciciretti, Rocco and Dalò, Ambrogio and Nicolosi, Marco, The Resilience of the Socially Responsible Investment Networks (June 17, 2020). CEIS Working Paper No. 495, Available at SSRN: https://ssrn.com/abstract=3629800 or http://dx.doi.org/10.2139/ssrn.3629800

Roy Cerqueti (Contact Author)

University Sapienza Rome ( email )

Piazzale Aldo Moro 5
Roma, Rome 00185
Italy

Rocco Ciciretti

Tor Vergata University of Rome - Department of Economics and Finance ( email )

Via Columbia, 2
Roma, 00133
Italy
+39 06 72595925 (Phone)

HOME PAGE: http://www.roccociciretti.com/

Ambrogio Dalò

University of Gronigen - Faculty of Economics and Business ( email )

Nettelbosje 2
Groningen, Groningen 9747 AE
Netherlands
+31 50 36 37194 (Phone)

HOME PAGE: http://https://sites.google.com/view/ambrogiodalo/home

Marco Nicolosi

University of Perugia - Department of Economics ( email )

via Pascoli, 20
PG 06123 Perugia, 06123
Italy

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