Inversión ambientalmente sostenible: Dinámica entre índices temáticos mundiales



Publicado 18-12-2019
Vítor Gabriel


Este estudio analiza las relaciones dinámicas de corto y largo plazo entre segmentos de inversión ambientalmente sostenible, mediante la aplicación de una propuesta metodológica basada en la prueba de cointegración de Johansen, en el concepto de causalidad, en funciones de impulso-respuesta generalizadas, y en un modelo GARCH multivariante asimétrico. Se han seleccionado índices de cinco segmentos de inversión sostenible, relacionados con la energía alternativa, la tecnología limpia, la construcción ecológica, el agua sostenible y la prevención de la polución.Los resultados muestran que los índices no han seguido caminos análogos en el largo plazo. En lugar de ello, los índices han seguido caminos autónomos. En el corto plazo, el índice agua sostenible fue particularmente autónomo, y contribuyó para ayudar a explicar los movimientos en los restantes índices. Han sido identificados efectos de contagio, pero también efecto asimétrico sobre la volatilidad de los índices temáticos. Esta situación plantea grandes retos a los inversores de cara a una estrategia de diversificación de la inversión.

Cómo citar

Gabriel, V. (2019). Inversión ambientalmente sostenible: Dinámica entre índices temáticos mundiales. Cuadernos De Gestión, 19(1), 41–62.
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Inversión sostenible, índices temáticos, cointegración, vector autorregresivo, funciones de impulso-respuesta, GARCH multivariante asimétrico

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