Resilience or Returns: Assessing Green Equity Index Performance Across Market Regimes

36 Pages Posted: 18 Dec 2023

See all articles by An Duong

An Duong

Ho Chi Minh University of Banking; Banking University of Ho Chi Minh City

Date Written: December 1, 2023

Abstract

Amid growing concerns about climate change and sustainable development, this study delves into the evolving landscape of sustainable finance, specifically examining the performance of green equity indices versus conventional indices from 2002 to 2023. While previous research offers mixed findings on the comparative performance of sustainable and conventional investments, this paper aims to bridge a critical gap by including both developed and emerging markets and by employing the Markov regime-switching model to provide a dynamic perspective on how these indices perform across varying market regimes. The findings reveal that green indices often demonstrate resilience in adverse market conditions, though their performance shows marked regional variations, indicating a discrepancy in ESG integration maturity globally. This research contributes to the discourse on sustainable finance by offering a comprehensive assessment of green investments' viability and performance dynamics across diverse economic landscapes. It underscores the importance of considering regional differences in sustainable investment strategies and policy formulation, thereby enriching our understanding of the global sustainable investment landscape.

Keywords: FTSE4Good, green equity index, resilience, returns, volatility, Markov regime switching model

JEL Classification: G1, G11

Suggested Citation

Duong, An, Resilience or Returns: Assessing Green Equity Index Performance Across Market Regimes (December 1, 2023). Available at SSRN: https://ssrn.com/abstract=4650107 or http://dx.doi.org/10.2139/ssrn.4650107

An Duong (Contact Author)

Ho Chi Minh University of Banking ( email )

36 Ton That Dam
Nguyen Thai Binh Ward
Ho Chi Minh City, 700000
Vietnam

Banking University of Ho Chi Minh City ( email )

Vietnam

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