Comparing sin and ethical stocks: a spillover dynamics perspective

We delve into the comparison between sin and ethical stocks through a spillover dynamics analysis using a quantile vector autoregression framework. The findings reveal that: (1) Sin and ethical stocks exhibit strong connectivity, with total spillovers being notably asymmetric under different market conditions. (2) There is a consistent pattern of alternating roles between transmitter and receiver for both sin and ethical stocks across various quantiles and time. (3) Ethical stocks consistently show dominance in transmitting return spillovers, and the COVID-19 pandemic has little influence on spillover dynamics for both sin and ethical stocks.