The term structure of yield curve and connectedness among ESG investments

Author First name, Last name, Institution

Najaf Iqbal, Hubei University Of Economics
Zaghum Umar, Zayed UniversityFollow
Asif M. Ruman, Oulu Business School
Shaohua Jiang, Anhui University of Finance and Economics

Document Type

Article

Source of Publication

Research in International Business and Finance

Publication Date

1-1-2024

Abstract

We examine the connectedness of different components of the US treasury's term structure with ESG (Environment, Social, and Governance) leader indices regarding return and volatility. The EMU (Economic and Monetary Union) and the UK lie at the center of the network. The connectedness is time-varying and versatile regarding return- and volatility spillovers and various components of the US treasury yield curve. The long-term rates influence returns, whereas the short- and medium-term are dominant regarding volatility spillovers. Interestingly, both return- and volatility spillovers from the yield curve components change behaviors/directions during the GFC and COVID-19. Importantly, long-term interest rates are significant shock transmitters during times of stress. Our findings have implications for ESG investors, who should keep in mind the shape of the yield curve while making portfolio choices and investment-horizon decisions.

DOI Link

10.1016/j.ribaf.2023.102145

ISSN

0275-5319

Publisher

Elsevier BV

Volume

67

Disciplines

Business

Keywords

Connectedness, Crisis periods, ESG leader indices, Long- and short-run, Return and volatility, US term structure of interest rates

Scopus ID

85175236404

Recommended Citation

Iqbal, Najaf; Umar, Zaghum; Ruman, Asif M.; and Jiang, Shaohua, "The term structure of yield curve and connectedness among ESG investments" (2024). All Works. 6189.
https://zuscholars.zu.ac.ae/works/6189

Indexed in Scopus

yes

Open Access

no