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Global spillovers between sustainable and traditional ETFS: crisis dynamics and policy implications

2025-09-04Journal article Open access
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dc.contributor.authorGabriel, Vítor Manuel de Sousa
dc.contributor.authorLozano, María Belén
dc.contributor.authorMatias, Fernanda
dc.contributor.authorNeves, Maria Elisabete
dc.contributor.authorRebelo, Sandra
dc.date.accessioned2025-09-29T09:53:37Z
dc.date.available2025-09-29T09:53:37Z
dc.date.issued2025-09-04
dc.description.abstractThis paper examines the interconnections between segments of exchange-traded funds (ETFs), bridging the traditional financial perspective with the sustainability-driven approach based on the Sustainable Development Goals (SDGs) outlined in Agenda 2030. The analysis is endogenous, focusing on the shocks that emerge within the system composed of these segments. Utilizing daily data from six sustainable segments, each corresponding to different SDGs, alongside one traditional segment, spanning a sample period of approximately 14 years, the study reveals notable spillover effects. Specifically, the periods associated with the pandemic and the war in Ukraine were marked by a significant surge in information transmission across the segments. Furthermore, the findings indicate that sustainable segments exhibit a strong interdependence with their traditional counterparts, a dynamic that facilitates contagion risk and limits the effectiveness of portfolio diversification strategies.eng
dc.description.sponsorshipUIDB/04043:CICF; UIDP/04043:CICF; PID2020-113498RA-C22; PID2020-114797GB-I00; UIDB/04011/2020
dc.identifier.doi10.1111/1758-5899.70073
dc.identifier.eissn1758-5899
dc.identifier.issn1758-5880
dc.identifier.urihttp://hdl.handle.net/10400.1/27750
dc.language.isoeng
dc.peerreviewedyes
dc.publisherWile
dc.relationResearch Centre on Accounting and Taxation
dc.relation.ispartofGlobal Policy
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectExchange-traded funds
dc.subjectPandemic crisis
dc.subjectSpillovers
dc.subjectSustainable developments goals
dc.subjectUkranian war
dc.titleGlobal spillovers between sustainable and traditional ETFS: crisis dynamics and policy implicationseng
dc.typejournal article
dspace.entity.typePublication
oaire.awardTitleResearch Centre on Accounting and Taxation
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F04043%2F2020/PT
oaire.citation.titleGlobal Policy
oaire.fundingStream6817 - DCRRNI ID
oaire.versionhttp://purl.org/coar/version/c_970fb48d4fbd8a85
person.familyNameMatias
person.familyNameRebelo
person.givenNameFernanda
person.givenNameSandra
person.identifier773227
person.identifier.ciencia-id9710-DF0F-8EE4
person.identifier.ciencia-id1316-7B9C-D513
person.identifier.orcid0000-0002-5128-7801
person.identifier.orcid0000-0002-8943-9794
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
relation.isAuthorOfPublicationd7de5335-e248-4464-8e17-f810ee251eec
relation.isAuthorOfPublicationade33b98-e6c4-4702-855c-4ce01d84be1f
relation.isAuthorOfPublication.latestForDiscoveryd7de5335-e248-4464-8e17-f810ee251eec
relation.isProjectOfPublicatione50047b3-47da-497b-9cd3-ed62ccdcbf1f
relation.isProjectOfPublication.latestForDiscoverye50047b3-47da-497b-9cd3-ed62ccdcbf1f

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