The impact of uncertainty indices on sustainable investments in India: TVP-VAR based connectedness approach

Stephen, Sony; Senthilkumar, Arunachalam

Abstract

This paper examines how strong is the policy uncertainty networks transmit-ting information to sustainable investments in an emerging market like In-dia. Specially, by employing TVP-VAR on monthly closing value of three sustainability indices from Bombay stock Exchange namely S&P BSE CARBONEX (CARBONEX), S&P BSE GREENEX(GREENEX), S&P BSE 100 ESG Index (ESG100) and three policy uncertainty indices namely Ener-gy Uncertainty Index (EnergyPU), Climate Policy Uncertainty Index (Cli-matePU) and Economic Policy Uncertainty Index (EconomicPU) for the pe-riod spanning from October 2017 to October 2022 comprising a total of 60 observations. The empirical results show that the Net directional connected-ness of ClimatePU is negative proving that it the net risk receiver of spillover and the BSE sustainable indices are the net risk transmitter with positive net directional connectedness. The findings offer valuable implications for policymakers and investors wherein the investors can manage risk and can attain effective sustainable investments and policy makers can stabilize the signals to increase the asset allocation into sustainability aligned ventures that will lead to the stability of the economy.

• Presentation Conference Type: Conference Paper (published)
• Conference Name: 8th International Conference on Information and Communication Technology for Intelligent Systems
• Start Date: Apr 4, 2024
• End Date: Apr 5, 2024
• Acceptance Date: Feb 8, 2024
• Deposit Date: Aug 22, 2024
• Publisher: Springer
• Peer Reviewed: Peer Reviewed
• Series Title: Lecture Notes in Networks and Systems
• Series ISSN: 2367-3370
• Keywords: Sustainable Investments, Connectedness, Policy Uncertainty, TVP-VAR
• Public URL: https://uwe-repository.worktribe.com/output/12798968
• Related Public URLs: https://www.ictis.in/; https://www.springer.com/series/15179