The temporal variability in the returns of socially responsible funds to structural oil shocks

Rehman, Mobeen Ur; Nautiyal, Neeraj; Zeitun, Rami; Vo, Xuan Vinh

Abstract

In this paper, we investigate the potential presence of returns comovement between socially responsible investment (SRI) funds and oil shocks based on daily data from March 8, 2016 to June 11, 2021. According to the seminal work of Ready (2018), oil shocks can be supply-, demand-, or risk-driven in nature. We applied a contemporary rolling window wavelet correlation approach across various levels of decomposition to measure the degree of comovement between oil shocks and SRI returns. The results of this highlight the heterogeneous influence of oil shocks on SRI returns. More specifically, demand shocks have a positive influence, whereas risk shocks show a negative correlation with SRI returns. In contrast, the results for supply shocks are mixed. We also noted the causal effect of risk shocks on the returns of SRI funds. This work has implications for investors who follow the ESG framework under the influence of the international oil market.

Citation

Rehman, M. U., Nautiyal, N., Zeitun, R., & Vo, X. V. (2025). The temporal variability in the returns of socially responsible funds to structural oil shocks. North American Journal of Economics and Finance, 77, Article 102366. https://doi.org/10.1016/j.najef.2025.102366

• Journal Article Type: Article
• Acceptance Date: Jan 9, 2025
• Online Publication Date: Jan 30, 2025
• Publication Date: Jan 30, 2025
• Deposit Date: Apr 23, 2025
• Journal: The North American Journal of Economics and Finance
• Print ISSN: 1062-9408
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 77
• Article Number: 102366
• DOI: https://doi.org/10.1016/j.najef.2025.102366
• Public URL: https://keele-repository.worktribe.com/output/1199149
• Publisher URL: https://www.sciencedirect.com/science/article/pii/S1062940825000063?via%3Dihub
• Additional Information: This article is maintained by: Elsevier; Article Title: The temporal variability in the returns of socially responsible funds to structural oil shocks; Journal Title: The North American Journal of Economics and Finance; CrossRef DOI link to publisher maintained version: https://doi.org/10.1016/j.najef.2025.102366; Content Type: article; Copyright: © 2025 Elsevier Inc. All rights are reserved, including those for text and data mining, AI training, and similar technologies.