“This study examines the time-varying volatility and risk measures of ethical and unethical investments.

We compute the value-at-risk and expected shortfall using the MS-GARCH model based on the Bayesian estimation framework.

Ethical investments are less affected than unethical investments during global financial crises.

Investors consider ethical investments as a hedging asset for their portfolios in the downside risk.”

[COMMENTARY]This research confirms the findings of previous studies that show ethical investments outperform during market downtowns.
Ethical and unethical investments under extreme market conditions, by Petter Olofssona, Anna Råholm, and Gazi Salah Uddin at Linköping University, Sweden; Victor Troster, Universitat de les Illes Balears, Palma, Spain; and Sang Hoon Kang, Pusan National University, Republic of Korea. October 2021, International Review of Financial Analysis.