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=9

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