Shades between black and green investment: Balance or imbalance?

Abstract

This paper analyses the links established between environmental indices and the oil price adopting a double perspective, long‐term and short‐term relationships. For that purpose, we em-ploy the Bounds Test and bivariate conditional heteroscedasticity models. In the long run, the pat-tern of behaviour of environmental indices clearly differed from that of the oil prices, and it was not possible to identify cointegrating vectors. In the short‐term, it was possible to conclude that, in con-temporaneous terms, the variables studied tended to follow similar paths. When the lag of the oil price variable was considered, the impacts produced on the stock market sectors were partially of a negative nature, which allows us to suppose that this variable plays the role of a risk factor for environmental investment.