This study explores the safe haven role of industry sectors classified by the Global Industry Classification Standards (GICS) for global Environmental, Social, and Governance (ESG) stocks in the United States. Our study applies the novel cross-quantilogram and quantile time-frequency connectedness approach for daily time series data from November 2019 to October 2023. Our findings confirm that industry sectors, mainly financials, industrial, communication, information technology, energy, consumer staples, and consumer discretionary, are the safe haven avenues at down, normal, and up market conditions; however, these safe haven avenues vanish for the long-term investment horizon. We also explore the risk spillover patterns for the total time domain and the decomposed spillover level for the short- and long-term spillovers. Our connectedness finding shows that the net transmitters and net receiver patterns are similar for the extreme markets but dramatically change for the normal markets. Finally, based on the portfolio rebalancing strategy, the returns of our portfolio, comprised of industry sectors and the ESG index, outperform the overall market. Moreover, our portfolio yields lower negative returns and a higher Sharpe ratio when compared with the overall market returns. These findings confirm the benefits of diversification by reducing downside portfolio risk. This study is primarily relevant for socially responsible portfolio and risk management investors.

中文翻译：

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美国工业股相对 ESG 的避险属性：投资组合对可持续投资的影响


本研究探讨了按全球行业分类标准 (GICS) 分类的行业板块对美国全球环境、社会和治理 (ESG) 股票的避险作用。我们的研究对 2019 年 11 月至 2023 年 10 月的每日时间序列数据应用了新颖的跨分位数图和分位数时频连通性方法。我们的研究结果证实，行业部门，主要是金融、工业、通信、信息技术、能源、消费品和非必需消费品是市场下跌、正常和上涨时的避险渠道；然而，从长期投资的角度来看，这些避险途径就消失了。我们还探讨了总时域的风险溢出模式以及短期和长期溢出的分解溢出水平。我们的连通性发现表明，极端市场的网络发射器和网络接收器模式相似，但正常市场的网络发射器和网络接收器模式却发生了巨大变化。最后，基于投资组合再平衡策略，我们由行业板块和ESG指数组成的投资组合的回报优于整体市场。此外，与整体市场回报相比，我们的投资组合产生较低的负回报和较高的夏普比率。这些发现证实了多元化通过降低投资组合下行风险的好处。本研究主要与具有社会责任的投资组合和风险管理投资者相关。