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ESG Investing through ETFs - An effective way to circumvent volatility?

Strignert, Agnes LU and Malm, Ellen (2021) NEKH01 20202
Department of Economics
Abstract
This study highlights relatively new investment phenomena such as ETF investing and forthcoming trends in placement strategies to incorporate long-term visions and sustainable holdings. ETFs are popular for several reasons, but the investment vehicle also has some embodied volatility, in contrast to more traditional securities, making them less desirable for the risk-averse investor. This thesis's central purpose is to examine how to circumvent some of this embedded volatility through sustainable investment strategies in ETFs. The definition of sustainable and green investments is made based on MSCIs ESG-rating. The purpose of the problem question is to make rational investing in ETFs more applicable for the private investor. The study's... (More)
This study highlights relatively new investment phenomena such as ETF investing and forthcoming trends in placement strategies to incorporate long-term visions and sustainable holdings. ETFs are popular for several reasons, but the investment vehicle also has some embodied volatility, in contrast to more traditional securities, making them less desirable for the risk-averse investor. This thesis's central purpose is to examine how to circumvent some of this embedded volatility through sustainable investment strategies in ETFs. The definition of sustainable and green investments is made based on MSCIs ESG-rating. The purpose of the problem question is to make rational investing in ETFs more applicable for the private investor. The study's result is consistent with the claim that green and sustainable investments are the future of finance. The quantitative analysis made through the DCC-GARCH model indicated a significant difference in daily volatility between green and non-green ETFs. The analysis is based on five years of daily return data compared between 80 ETFs listed in the US. (Less)
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author
Strignert, Agnes LU and Malm, Ellen
supervisor
organization
course
NEKH01 20202
year
type
M2 - Bachelor Degree
subject
keywords
ETFs, ESG, sustainability, volatility, GARCH.
language
English
id
9036881
date added to LUP
2021-03-11 11:24:20
date last changed
2021-03-11 11:24:20
@misc{9036881,
  abstract     = {{This study highlights relatively new investment phenomena such as ETF investing and forthcoming trends in placement strategies to incorporate long-term visions and sustainable holdings. ETFs are popular for several reasons, but the investment vehicle also has some embodied volatility, in contrast to more traditional securities, making them less desirable for the risk-averse investor. This thesis's central purpose is to examine how to circumvent some of this embedded volatility through sustainable investment strategies in ETFs. The definition of sustainable and green investments is made based on MSCIs ESG-rating. The purpose of the problem question is to make rational investing in ETFs more applicable for the private investor. The study's result is consistent with the claim that green and sustainable investments are the future of finance. The quantitative analysis made through the DCC-GARCH model indicated a significant difference in daily volatility between green and non-green ETFs. The analysis is based on five years of daily return data compared between 80 ETFs listed in the US.}},
  author       = {{Strignert, Agnes and Malm, Ellen}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{ESG Investing through ETFs - An effective way to circumvent volatility?}},
  year         = {{2021}},
}