Exploring the hedge, diversifier and safe haven properties of ESG investments: A cross-quantilogram analysis

This article proposes an empirical investigation, based on a cross-quantilogram analysis, to assess the hedge, diversifier and safe haven properties of Environmental, Social and Governance (ESG) assets in comparison to conventional investment practices (equity index, gold, commodities and cryptocurrencies). Our evidence shows that ESG assets have a weak safe haven properties but still represent an outstanding diversification and hedge asset, depending on the asset class taken as reference. Our results provide important implications for risk management suggesting that investors have started considering sustainable investing as a new measure of value maximization and risk reduction.