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Sustainability, Uncertainty, and Risk: Time-Frequency Relationships

doi: 10.3390/su151813589
This study investigates the interconnected dynamics among the Dow Jones Sustainability World Index and two volatility indexes, the Cboe Volatility Index and ICE BofA MOVE Index. It examines their relationships and causalities within daily data spanning from January 2014 to July 2023. The research employs wavelet power spectrum (WPS) and wavelet coherence analyses (WCA) to delve into these interconnections. The wavelet power spectrum reveals noteworthy volatility spikes in the indexes during specific periods linked to geopolitical occurrences, the COVID-19 pandemic, and global uncertainties. A wavelet coherence analysis unveils how the DJ Sustainability World Index significantly influences the Cboe Volatility Index and ICE BofA MOVE Index across short, medium, and long-term perspectives, albeit with variations in certain periods. The empirical findings underscore the intricate relationships between sustainability and volatility indexes, shedding light on their nuanced causal interplay over time. The insights from this study hold paramount implications for policy-makers, investors, and financial institutions navigating a complex and uncertain landscape. The identified relationships between sustainability and market volatility can aid in making informed decisions. This research adds original value by uncovering the time-varying relationships between sustainability and volatility indexes, revealing their interdependencies across diverse temporal scales. Given the observed causal relationships, policy-makers and investors are recommended to consider sustainability-related developments when assessing market volatility. This proactive approach can lead to more informed decision making and effective risk management strategies.
- National University of Colombia Colombia
- Universidad de Medellín Colombia
- National University of Colombia Colombia
- Universidad de Medellín Colombia
- Universidad Señor de Sipán Peru
Environmental effects of industries and plants, wavelet analysis, TJ807-830, co-movements, dependence, sustainability, TD194-195, Renewable energy sources, Environmental sciences, bibliometric review, GE1-350, uncertainty
Environmental effects of industries and plants, wavelet analysis, TJ807-830, co-movements, dependence, sustainability, TD194-195, Renewable energy sources, Environmental sciences, bibliometric review, GE1-350, uncertainty
citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).4 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
