{"id":"https://openalex.org/W2266224906","doi":"https://doi.org/10.1080/00036846.2016.1161724","title":"Predictability of sustainable investments and the role of uncertainty: evidence from a non-parametric causality-in-quantiles test","display_name":"Predictability of sustainable investments and the role of uncertainty: evidence from a non-parametric causality-in-quantiles test","publication_year":2016,"publication_date":"2016-03-23","ids":{"openalex":"https://openalex.org/W2266224906","doi":"https://doi.org/10.1080/00036846.2016.1161724","mag":"2266224906"},"language":"en","primary_location":{"id":"doi:10.1080/00036846.2016.1161724","doi":"https://doi.org/10.1080/00036846.2016.1161724","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00036846.2016.1161724","pdf_url":null,"source":{"id":"https://openalex.org/S201533460","display_name":"Applied Economics","issn_l":"0003-6846","issn":["0003-6846","1466-4283"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5019277205","display_name":"Nikolaos Antonakakis","orcid":"https://orcid.org/0000-0002-0904-3678","observed_orcids":["https://orcid.org/0000-0002-0904-3678"]},"institutions":[{"id":"https://openalex.org/I185278702","display_name":"Webster Vienna Private University","ror":"https://ror.org/03nhjjj32","country_code":"AT","type":"education","lineage":["https://openalex.org/I185278702"]},{"id":"https://openalex.org/I63072094","display_name":"University of Portsmouth","ror":"https://ror.org/03ykbk197","country_code":"GB","type":"education","lineage":["https://openalex.org/I63072094"]}],"countries":["AT","GB"],"is_corresponding":true,"raw_author_name":"Nikolaos Antonakakis","raw_affiliation_strings":["Economics & Finance Subject Group, University of Portsmouth, Portsmouth, UK; Department of Business & Management, Webster Vienna Private University, Vienna, Austria","Department of Business & Management, Webster Vienna Private University, Vienna, Austria","Economics & Finance Subject Group, University of Portsmouth, Portsmouth, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Economics & Finance Subject Group, University of Portsmouth, Portsmouth, UK; Department of Business & Management, Webster Vienna Private University, Vienna, Austria","institution_ids":["https://openalex.org/I185278702","https://openalex.org/I63072094"]},{"raw_affiliation_string":"Department of Business & Management, Webster Vienna Private University, Vienna, Austria","institution_ids":["https://openalex.org/I185278702"]},{"raw_affiliation_string":"Economics & Finance Subject Group, University of Portsmouth, Portsmouth, UK","institution_ids":["https://openalex.org/I63072094"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5068668811","display_name":"Vassilios Babalos","orcid":"https://orcid.org/0000-0002-2633-7985","observed_orcids":["https://orcid.org/0000-0002-2633-7985"]},"institutions":[{"id":"https://openalex.org/I154757721","display_name":"University of Piraeus","ror":"https://ror.org/02qs84g94","country_code":"GR","type":"education","lineage":["https://openalex.org/I154757721"]},{"id":"https://openalex.org/I2802303737","display_name":"Technological Educational Institute of Peloponnese","ror":"https://ror.org/04c691616","country_code":"GR","type":"education","lineage":["https://openalex.org/I158716096","https://openalex.org/I2802303737"]}],"countries":["GR"],"is_corresponding":false,"raw_author_name":"Vassilios Babalos","raw_affiliation_strings":["Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Kalamata, Greece; Department of Banking & Financial Management, University of Piraeus, Piraeus, Greece","Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Kalamata, Greece","Department of Banking & Financial Management, University of Piraeus, Piraeus, Greece"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Kalamata, Greece; Department of Banking & Financial Management, University of Piraeus, Piraeus, Greece","institution_ids":["https://openalex.org/I154757721","https://openalex.org/I2802303737"]},{"raw_affiliation_string":"Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Kalamata, Greece","institution_ids":["https://openalex.org/I2802303737"]},{"raw_affiliation_string":"Department of Banking & Financial Management, University of Piraeus, Piraeus, Greece","institution_ids":["https://openalex.org/I154757721"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5048120085","display_name":"Clement Kweku Kyei","orcid":"https://orcid.org/0000-0002-5311-359X","observed_orcids":["https://orcid.org/0000-0002-5311-359X"]},"institutions":[{"id":"https://openalex.org/I69552723","display_name":"University of Pretoria","ror":"https://ror.org/00g0p6g84","country_code":"ZA","type":"education","lineage":["https://openalex.org/I69552723"]}],"countries":["ZA"],"is_corresponding":false,"raw_author_name":"Clement Kyei","raw_affiliation_strings":["Department of Economics, University of Pretoria, Pretoria, South Africa"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Pretoria, Pretoria, South Africa","institution_ids":["https://openalex.org/I69552723"]}]}],"institutions":[],"countries_distinct_count":4,"institutions_distinct_count":5,"corresponding_author_ids":["https://openalex.org/A5019277205"],"corresponding_institution_ids":["https://openalex.org/I185278702","https://openalex.org/I63072094"],"apc_list":null,"apc_paid":null,"fwci":5.1991,"has_fulltext":false,"cited_by_count":27,"citation_normalized_percentile":{"value":0.94767671,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"48","issue":"48","first_page":"4655","last_page":"4665"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.5464000105857849,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.5464000105857849,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.25440001487731934,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T13146","display_name":"Sustainable Finance and Green Bonds","score":0.15809999406337738,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/return-predictability","display_name":"return predictability","score":0.8790000081062317},{"id":"https://openalex.org/keywords/economic-policy-uncertainty","display_name":"economic policy uncertainty","score":0.8980000019073486},{"id":"https://openalex.org/keywords/financial-distress-indicators","display_name":"financial distress indicators","score":0.7990000247955322},{"id":"https://openalex.org/keywords/dow-jones-sustainability-index","display_name":"Dow Jones Sustainability Index","score":0.9369999766349792},{"id":"https://openalex.org/keywords/causality-in-quantiles","display_name":"quantile causality","score":0.8640000224113464},{"id":"https://openalex.org/keywords/2008-financial-crisis","display_name":"2008 financial crisis","score":0.9070000052452087},{"id":"https://openalex.org/keywords/public-debt","display_name":"public debt","score":0.9120000004768372}],"concepts":[{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.8928639888763428},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7947378754615784},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6143060922622681},{"id":"https://openalex.org/C118671147","wikidata":"https://www.wikidata.org/wiki/Q578714","display_name":"Quantile","level":2,"score":0.5969651341438293},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.5041199922561646},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.45765626430511475},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.423922598361969},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.32047125697135925},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.29077255725860596},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.10247945785522461},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.0},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1080/00036846.2016.1161724","doi":"https://doi.org/10.1080/00036846.2016.1161724","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00036846.2016.1161724","pdf_url":null,"source":{"id":"https://openalex.org/S201533460","display_name":"Applied Economics","issn_l":"0003-6846","issn":["0003-6846","1466-4283"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics","raw_type":"journal-article"},{"id":"mag:3125011814","doi":null,"is_oa":false,"landing_page_url":"https://EconPapers.repec.org/RePEc:pre:wpaper:201576","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:taf:applec:v:48:y:2016:i:48:p:4655-4665","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/00036846.2016.1161724","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":49,"referenced_works":["https://openalex.org/W1411511860","https://openalex.org/W1500994492","https://openalex.org/W1507259579","https://openalex.org/W1542692746","https://openalex.org/W1557656806","https://openalex.org/W1897029126","https://openalex.org/W1966268097","https://openalex.org/W1967872601","https://openalex.org/W1970495888","https://openalex.org/W1975161917","https://openalex.org/W1982933110","https://openalex.org/W1991823767","https://openalex.org/W1995834279","https://openalex.org/W1999128898","https://openalex.org/W2013833016","https://openalex.org/W2016741780","https://openalex.org/W2018344813","https://openalex.org/W2020364121","https://openalex.org/W2025899806","https://openalex.org/W2028075340","https://openalex.org/W2061160212","https://openalex.org/W2066393833","https://openalex.org/W2073928172","https://openalex.org/W2077721918","https://openalex.org/W2088336173","https://openalex.org/W2094862176","https://openalex.org/W2098347405","https://openalex.org/W2104964789","https://openalex.org/W2118775685","https://openalex.org/W2128475248","https://openalex.org/W2129199667","https://openalex.org/W2132286633","https://openalex.org/W2133641513","https://openalex.org/W2165559086","https://openalex.org/W2166215547","https://openalex.org/W2288772834","https://openalex.org/W2783905182","https://openalex.org/W2951112740","https://openalex.org/W3121766225","https://openalex.org/W3121968018","https://openalex.org/W3122144640","https://openalex.org/W3122311863","https://openalex.org/W3124470059","https://openalex.org/W3124688932","https://openalex.org/W3125380794","https://openalex.org/W4230685666","https://openalex.org/W4253372268","https://openalex.org/W4253554627","https://openalex.org/W4254520964"],"related_works":["https://openalex.org/W3195396684","https://openalex.org/W4323652231","https://openalex.org/W2018344813","https://openalex.org/W7169850738","https://openalex.org/W4282028045","https://openalex.org/W2348857414","https://openalex.org/W2261184892","https://openalex.org/W2252738006","https://openalex.org/W7147240733","https://openalex.org/W4407029027"],"abstract_inverted_index":{"In":[0],"this":[1,33],"article,":[2],"we":[3,35,52,79],"examine":[4],"sustainable":[5,74,134],"investments":[6,75],"returns":[7,46,70,101,132],"predictability":[8,112],"based":[9],"on":[10,49],"the":[11,29,55,72,87,104,120,126,130],"U.S.":[12,73],"Dow":[13],"Jones":[14],"Sustainability":[15],"Index":[16],"(DJSI)":[17],"and":[18,24,62,85,122,144],"a":[19,37],"wide":[20],"set":[21],"of":[22,71,111,125,129,133],"uncertainty":[23,59],"financial":[25,89],"distress":[26],"indicators":[27],"for":[28,68,99,142],"period":[30],"2002:01\u20132014:12.":[31],"To":[32],"end,":[34],"employ":[36],"novel":[38],"non-parametric":[39],"causality-in-quantile":[40],"approach":[41],"that":[42,54,94],"captures":[43],"non-linearities":[44],"in":[45,103],"distribution.":[47],"Based":[48],"our":[50,81,91],"findings":[51],"conclude":[53],"aggregate":[56],"economic":[57],"policy":[58,140],"(EPU)":[60],"indicator":[61],"some":[63,108],"components":[64],"have":[65],"predictive":[66],"ability":[67],"real":[69,100,131],"index.":[76],"Moreover,":[77],"if":[78],"split":[80],"sample":[82],"to":[83],"before":[84],"after":[86],"global":[88],"crisis":[90],"results":[92,137],"suggest":[93],"predictors":[95],"carry":[96],"causal":[97],"information":[98],"only":[102],"after-crisis":[105],"period.":[106],"Finally,":[107],"marginal":[109],"evidence":[110],"from":[113],"sovereign":[114],"debt":[115],"is":[116],"also":[117],"observed":[118],"at":[119],"lower":[121],"upper":[123],"ends":[124],"conditional":[127],"distribution":[128],"investments.":[135],"Our":[136],"might":[138],"entail":[139],"implications":[141],"investors":[143],"market":[145],"authorities.":[146]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":3},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":4},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":2}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
