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<p>In the context of recent global crises, including the COVID-19 pandemic and the Russia-Ukraine conflict, this study employs Systemic Risk Theory to explore the potential of clean funds as a diversification strategy amidst financial instability. By analyzing the interconnectedness of commodities, world stock market, and clean funds through advanced econometric time varying connectedness and machine learning models, we assess how clean assets might mitigate contagion effects during turbulent periods. Our findings indicate that green funds, particularly TAN, ICLN, and CNRG, offer significant diversification benefits, exhibiting lower contagion from commodity markets compared to global stock indices. The insights gained from this study contribute to understanding how sustainable investments can enhance portfolio resilience in times of crisis, providing valuable guidance for investors and policymakers traversing complex economic challenges.</p>

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Evaluating the resilience of clean funds amidst COVID-19 and the Russia-Ukraine war: a consensus between time varying models and machine learning techniques

  • 期刊论文

  • 发表日期：

    2026年2月25日

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  • Sudhi Sharma,
  • Ritu Sharma,
  • Indira Bhardwaj,
  • Reepu

摘要

In the context of recent global crises, including the COVID-19 pandemic and the Russia-Ukraine conflict, this study employs Systemic Risk Theory to explore the potential of clean funds as a diversification strategy amidst financial instability. By analyzing the interconnectedness of commodities, world stock market, and clean funds through advanced econometric time varying connectedness and machine learning models, we assess how clean assets might mitigate contagion effects during turbulent periods. Our findings indicate that green funds, particularly TAN, ICLN, and CNRG, offer significant diversification benefits, exhibiting lower contagion from commodity markets compared to global stock indices. The insights gained from this study contribute to understanding how sustainable investments can enhance portfolio resilience in times of crisis, providing valuable guidance for investors and policymakers traversing complex economic challenges.