Portfolio investment analysis and asymmetric shock transmission among green investment, fixed income, and commodity markets

Third Author's Department

Economics Department

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https://doi.org/10.1016/j.jeca.2025.e00432

All Authors

Abdul Qadeer Ahmed Imran Hunjra Mina Sami Lieven De Moor

Document Type

Research Article

Publication Title

Journal of Economic Asymmetries

Publication Date

11-1-2025

doi

10.1016/j.jeca.2025.e00432

Abstract

This study explores asymmetric volatility transmission and connectedness across green investment, fixed income, and commodity markets using the novel R2 decomposed DCC-GARCH connectedness measures. We further evaluate the implications of connectedness patterns for portfolio analysis and risk management. We find that bond indices act as dominant transmitters of volatility, while green and commodity indices mostly absorb shocks. The connectedness patterns shift significantly during periods of global stress, which confirms the time-varying and asymmetric nature of volatility across markets. We report that the S&P Global Clean Energy Index shows greater sensitivity to negative shocks and higher volatility during crisis episodes. The portfolio analysis, Sharpe ratios, and downside risk measures consistently favor the FTSE World Government Bond Index, which receives the highest weight allocation. The results support the construction of stable and low risk portfolios by assigning core weight to bonds and cautious exposure to green and commodity sectors. This study provides meaningful implications for portfolio managers and policymakers.

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