Long-run memory in ethical and conventional investments. Novel evidence from a VAR(1)-FIEGARCH model

Abstract

Within a VAR(1)-FIEGARCH framework, we explore the dynamic impact of uncertainty as measured by US Economic Policy Uncertainty Index on the level of fractional integration of ethical investments and conventional investments for Europe, the American and Asia-Pacific market. Our results reveal that both spillovers and policy uncertainty appear to capture a significant part of the returns fractional integration process for ethical and conventional investments. Overall, our results support the view that ethical and conventional investments returns conform to a fractionally integrated process. Our results entail significant policy implications for investors who seek profitable trading strategies.