This paper aims to investigate the relationship between sustainable investments and a series of
uncertainties from January 2014 to December 2021, including many economic and political
turbulences and the COVID-19 pandemic.
We employ Rényi’s transfer entropy method, a non-parametric flexible tool that considers both
the center distribution and lower quantiles, capturing extreme rare events that give additional
insights to analysis.
Our results indicate significant bidirectional information transmissions between the crude oil
volatility and sustainability indices. We report information flows between the cryptocurrency
uncertainty and sustainability indices considering tail events. The results are essential for market
participants making decisions during turbulent times.
This paper is carried out for a variety of uncertainty measures and ESG portfolios of both
developed and developing markets. It adds to literature in terms of methodology used. Rényi’s
transfer entropy methodology is firstly employed to measure the relationship between uncertainties
and ESG investments.
Key words: Sustainable investments, Green Bond, Uncertainty indices