AUTHOR=Rehman Mobeen Ur , Kashif Muhammad , Naifar Nader , Shahzad Syed Jawad Hussain 

TITLE=Socially Responsible Funds and Traditional Energy Commodities: A Diversification Perspective for Investments

JOURNAL=Frontiers in Environmental Science

VOLUME=Volume 9 - 2021

YEAR=2021

URL=https://www.frontiersin.org/journals/environmental-science/articles/10.3389/fenvs.2021.709990

DOI=10.3389/fenvs.2021.709990

ISSN=2296-665X

ABSTRACT=Our work examines relationship between socially responsible funds and traditional energy market over daily returns data ranging from December 2015 – April 2019. To measure the connectedness between both markets, we apply quantile cross-spectral analysis to measure returns correlation under different market conditions in the short-, medium-, and long-run. Our results highlight that correlation based on different quantile distribution yield different investment opportunities. In the short-run, investors can benefit by diversifying assets under extreme market conditions. No significant diversification opportunities are available in medium- and long-run periods. Our findings provide implications for individual investors making investments under different horizons and dynamic market conditions.