Are there other fish in the sea? Exploring the hedge, diversifier and safe-haven features of ESG investments

Abstract Purpose – This study aims to conduct an empirical investigation to assess the hedge, diversifier and safehaven properties of different environmental, social and governance (ESG) assets (i.e. green bonds and ESG equity index) vis- a-vis conventional investments (namely, equity index, gold and commodities). Design/methodology/approach – The authors examine the sample period 2007–2021 using the bivariate cross-quantilogram (CQG) analysis and a dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity (GARCH) experimentwith several extensions. Findings – The evidence shows that the analyzed ESG investments exhibit mainly diversifying features depending on the asset class taken as a reference, with some potential hedging/safe-haven qualities (for the green bond) in peculiar timespans. Therefore, the results suggest that investors might consider sustainable investing as a newmeasure of risk reduction,which has interesting implications for both portfolio allocation and policy design. Originality/value – To the best of the authors’ knowledge, this study is the first that empirically investigates at once the dependence between different ESG investments (i.e. equity and green bond) with different conventional investments such as gold, equity and commodity market indices over a large sample period (2007–2021). Wellsuited methodologies like the bivariate CQG and the DCC multivariate GARCH are used to capture the spillover effect and the hedging/diversifying nature, even in temporary contexts. Finally, a global perspective is used.