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Quantile Spillover and Portfolio Shielding: Analyzing ESG Stocks and Commodity Markets Through the QVAR

Susovon Jana et al.

Studies in Microeconomics2026https://doi.org/10.1177/23210222261424096article
AJG 1ABDC C
Weight
0.50

What the paper says

It is crucial to understand how environmentally friendly investments are interrelated with commodity futures. This study examines the quantile connectedness among global environmental, social and governance (ESG) stocks and commodities using the quantile vector autoregression (QVAR) approach on data spanning from May 2017 to April 2024. The findings exhibit higher return spillover in lower and upper quantiles and less spillover in the median quantile. Furthermore, during the COVID-19 pandemic and the Russia–Ukraine war, connectedness has increased among ESG stocks and commodities in all market conditions. Further analysis indicates that Europe ESG leaders (EU_ESG) and USA ESG leaders (US_ESG) serve as diversifiers in all market scenarios, but world ESG leaders (WL_ESG) act as a diversifier just in the natural market. Emerging markets ESG leaders (EM_ESG) generally function as a risk absorber and, in calm times, act as a hedge against developed ESG shocks. Finally, gold functions as a safe haven in crises for environmentally friendly investments. Our findings provide valuable information to investors, policymakers and portfolio managers regarding portfolio diversification. JEL Classifications: O16, C58, C61, G41

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https://doi.org/https://doi.org/10.1177/23210222261424096

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@article{susovon2026,
  title        = {{Quantile Spillover and Portfolio Shielding: Analyzing ESG Stocks and Commodity Markets Through the QVAR}},
  author       = {Susovon Jana et al.},
  journal      = {Studies in Microeconomics},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1177/23210222261424096},
}

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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