Proceedings of the 8th International Conference on Financial Innovation and Economic Development (ICFIED 2023)

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The Impact of Green Diamond Reward Rating on Liquidity Risk of ESG Exchange Traded Funds (ETFs)

Authors
Yamei Zhao1, *
1School of Accounting and Finance, College of Business and Public Management, Wenzhou-Kean University, Wenzhou, 325060, China
*Corresponding author. Email: 1129890@wku.edu.cn
Corresponding Author
Yamei Zhao
Available Online 15 May 2023.
DOI
10.2991/978-94-6463-142-5_55How to use a DOI?
Keywords
ESG exchanged traded funds; liquidity risk; green diamond reward rating; risk management
Abstract

It is a puzzle that whether environment, social, and governance (ESG) exchange-traded fund (ETF) is a better choice for investors than buying conventional ETFs and whether ESG ETFs with higher green diamond reward ratings could have lower liquidity risk, especially during the recession. By regression analysis and fixed effect analysis, this study focuses on 83 ESG ETFs compared with 83 matched conventional ETFs and 10 anti-ESG ETFs. It collects ESG ETFs liquidity data from the WRDS database and ESG ETF lists from the Bloomberg terminal between 2016Q1 and 2022Q8. As robustness checks, the result holds for the fixed-effect model, additional measure, and two-stage least square regression. We find that there is a negative relationship between ESG ETFs’ green diamond reward rating and liquidity risk. We also find that ESG ETFs have less liquidity risk compared to conventional ETFs, especially during the financial crisis. The findings of this study provide insightful guidance for investors in making an investment decision and support the hypothesis that ESG fund management could add value.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 8th International Conference on Financial Innovation and Economic Development (ICFIED 2023)
Series
Advances in Economics, Business and Management Research
Publication Date
15 May 2023
ISBN
10.2991/978-94-6463-142-5_55
ISSN
2352-5428
DOI
10.2991/978-94-6463-142-5_55How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Yamei Zhao
PY  - 2023
DA  - 2023/05/15
TI  - The Impact of Green Diamond Reward Rating on Liquidity Risk of ESG Exchange Traded Funds (ETFs)
BT  - Proceedings of the 8th International Conference on Financial Innovation and Economic Development (ICFIED 2023)
PB  - Atlantis Press
SP  - 479
EP  - 485
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-142-5_55
DO  - 10.2991/978-94-6463-142-5_55
ID  - Zhao2023
ER  -