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The aim of this study is to identify environmental, social and governance (ESG)-focused funds that can effectively uphold ethical principles while also delivering competitive financial returns by evaluating the performance of 24 well-established exchange-traded funds (ETFs). The study also compares the performance of four widely recognized ETFs representing NASDAQ (ticker: QQQ), S&P500 (SPY), Dow Jones (DIA) and Russell 2000 (IWM) with the sample of 24 ESG funds.

This paper utilizes four complementary measures, namely Sharpe, Sortino, Omega and Calmar ratios, to assess the risk-adjusted return performance of ETFs, with a particular emphasis on extreme downside risk.

The findings indicate that ESG-focused ETFs can predominantly outperform DIA and IWM in the last five years (1 November 2018–22 March 2023). However, when compared to QQQ and SPY, only ICLN, SUSA and DSI consistently delivered competitive risk-adjusted returns. The performance of DSI and SUSA is almost equivalent to QQQ and SPY even during the last ten years.

The paper conducts a risk-return analysis of alternative ESG investment funds, suggesting that not all ETFs are created equal and that careful selection is vital for achieving different investment objectives. It is imperative to recognize that past performance is not a reliable indicator of future outcomes, requiring consideration of other factors in the post-evaluation phase.

The study provides evidence to support the “doing well while doing good” hypothesis, indicating that competitive returns are achievable while also engaging in socially responsible investment.

This study fills a vital gap in the literature on ESG investment by highlighting that the choice of funds stands as the primary factor responsible for the conflicting findings by previous studies.

This study is the first to investigate the causal relationship between Bitcoin and equity price returns by sectors. Previous studies have focused on aggregated indices such as S&P500, Nasdaq and Dow Jones, but this study uses mixed frequency and disaggregated data at the sectoral level. This allows the authors to examine the nature, direction and strength of causality between Bitcoin and equity prices in different sectors in more detail.

This paper utilizes an Unrestricted Asymmetric Mixed Data Sampling (U-AMIDAS) model to investigate the effect of high-frequency Bitcoin returns on a low-frequency series equity returns. This study also examines causality running from equity to Bitcoin returns by sector. The sample period covers United States (US) data from 3 Jan 2011 to 14 April 2023 across nine sectors: materials, energy, financial, industrial, technology, consumer staples, utilities, health and consumer discretionary.

The study found that there is no causality running from Bitcoin to equity returns in any sector except for the technology sector. In the tech sector, lagged Bitcoin returns Granger cause changes in future equity prices asymmetrically. This means that falling Bitcoin prices significantly influence the tech sector during market pullbacks, but the opposite cannot be said during market rallies. The findings are consistent with those of other studies that have established that during market pullbacks, individual asset prices have a tendency to decline together, whereas during market rallies, they have a tendency to rise independently. In contrast, this study finds evidence of causality running from all sectors of the equity market to Bitcoin.

The findings have significant implications for investors and fund managers, emphasizing the need to consider the asymmetric causality between Bitcoin and the tech sector. Investors should avoid excessive exposure to both Bitcoin and tech stocks in their portfolio, as this may lead to significant drawdowns during market corrections. Diversification across different asset classes and sectors may be a more prudent strategy to mitigate such risks.

The study's findings underscore the need for investors to pay close attention to the frequency and disaggregation of data by sector in order to fully understand the true extent of the relationship between Bitcoin and the equity market.

The purpose of this paper is to examine the usefulness of the yield spread for forecasting growth in the Australian economy since 1969.

This paper applies time series analysis to evaluate the in-sample and out-of-sample forecasting power of the spread-growth nexus in Australia for the period spanning from 1969 to 2014.

This paper concludes that the spread serves as a useful predictor of growth in output, private dwellings, private fixed capital formation, and inventories in Australia, both in-sample and out-of-sample. Its predictive content is not sensitive to the inclusion of monetary policy variables or the switch to the inflation-targeting regime by the Reserve Bank of Australia in the early 1990s.

This paper provides significant evidence to policy makers and market participants on the usefulness of the spread in forecasting output growth for up to eight quarters ahead.

The Iranian currency (rial) depreciated on average 12.2 per cent per annum against the US dollar during the period 1960‐1998 but, despite continued two‐digit rates of inflation, the rial has witnessed only a meagre 1.7 per cent fall in its value in the post‐1998 era. This paper seeks to examine this perplexing issue by identifying the major long‐run determinants of the black market exchange rate.

This paper uses the multivariate cointegration test, a threshold regression model and annual time series data (1960‐2008) to determine exactly at what exchange rate the effect of relative prices on the exchange rate has been subject to an asymmetry adjustment process.

It was found that the relative CPIs in Iran and the USA, total stock of foreign debt and the price of crude oil are the major long‐run determinants of the black market exchange rate. However, the impact of relative prices (as measured by the magnitude of its elasticity) has significantly diminished from almost unity in the pre‐1998 period to less than one‐fourth since 1998. Based on the results, if oil prices continue to plunge, liquidity and inflation are out of control and at the same time Iran accumulates more external debt, the exchange rate will eventually exhibit an unprecedented and explosive depreciation in the coming years.

No previous study has examined this issue using a threshold regression model without splitting the entire sample into two sections according to an endogenously determined threshold for the exchange rate.

The main purpose of this paper is to provide more accurate estimates of Iran's time varying non-accelerating inflation rate of unemployment (NAIRU) than what already exists in the literature.

Using the Kalman filter approach and annual time series data spanning from 1959 to 2008, the paper presents two estimates of the NAIRU for Iran.

The estimated two measures appear to be robust and consistent in terms of their magnitude and pattern, having a more logical upper limit of 11.1 per cent. Irrespective of which of the two models are considered, the results clearly indicate that overall Iran's NAIRU has been on the rise since the 1960s and whenever the unemployment rate lies below the NAIRU, the rate of inflation has exhibited an explosive behaviour. Such a phenomenon was observed in both 1995-1996 and the post 2006 era.

In the context of Iran, all previous studies have consistently over-estimated the maximum value of the time varying NAIRU. In these studies, the NAIRU's upper limit ranges from 14 to 20.7 per cent. The paper concludes that such implausible high rates are as a result of the overestimation associated with misspecification errors in their model.

The purpose of this paper is to investigate the relationships between stock market returns of 13 countries based upon monthly data spanning December 1987 to April 2007.

Specifically, the principal component (PC) and maximum likelihood (ML) methods are used to examine any discernable patterns of stock market co‐movements.

Factor analysis provides evidence that stock returns in a number of Asian countries are highly correlated and, based on the resulting robust factor loadings, they form the first well‐defined common factor. The paper also finds consistent results (based on both the PC and ML methods) suggesting that the stock market returns of developed countries are also highly correlated, and constitute our second factor.

The paper concludes that, inter alia, geographical proximity and the level of economic development do matter when it comes to co‐movements of stock returns and that this has important implications for financial portfolio diversification if the aim is to reduce systematic risks across countries.

Very few previous studies have investigated the benefits from portfolio diversification by using the PC and ML methods.

The purpose of this paper is to examine the likely economy-wide impacts of the complete shutdown of the motor vehicle industry on output and employment in Australia using the latest input-output (IO) table (2009-2010).

Both supply- and demand-driven IO models are employed to determine the extent, and pattern, of the resulting output and job losses in upstream and downstream industries. An analysis of the first-order field of influence is also conducted to observe how output multipliers in other sectors respond to changes in the self-use-input-requirement of the professional, scientific and technical services (PSTS) industry.

The PSTS industry (with a significant research and development (R & D) component and the highest forward linkage index) would be hardest hit with the collapse of the motor vehicle industry.

This paper identifies a number of industries that are more likely to be heavily influenced by the resulting lack of R & D in the PSTS industry in the near future. Unless more funding is allocated to other research and technology-intensive industries, the extinction of the motor vehicle industry, coupled with the recent budgetary cuts for strategic organisations such as the Commonwealth Scientific and Industrial Research Organisation, can reduce the positive spillover effects of R & D activities on the Australian economy.

This is the first study to examine the effects of the shutdown of the motor vehicle industry on employment in Australia. The results also have broader implications for other developed countries that have declining motor vehicle industries. The findings suggest that the global decline in the motor vehicle industry can adversely affect investment in R & D in upstream and downstream industries. More generally, the results suggest that the shift in motor vehicle production to developing countries, will contribute to increased R & D intensity in them at the expense of developed countries.

Iran's third five‐year development (2000/2001‐2004/2005) has been considered a pivotal role for private investment in creating 700,000‐800,000 jobs per annum to stabilise the rate of unemployment. This paper examines the long‐ and short‐run determinants of the private investment function by employing the Johansen multivariate cointegration technique and a short‐run dynamic model. Using annual data for the period 1960‐2000, this paper finds, inter alia, that private investment is cointegrated with non‐oil gross domestic product and the rate of inflation. It is found that a 1 per cent increase in inflation in the long run can immediately result in a 1 per cent decline in investment in the short run.

This purpose of this paper is to investigate the existence of cointegration and causality between the stock market price indices of Thailand and its major trading partners (Australia, Hong Kong, Indonesia, Japan, Korea, Malaysia, the Philippines, Singapore, Taiwan, the UK and the USA), using monthly data spanning December 1987 to December 2005.

This paper used both the Engle‐Granger two‐step procedure (assuming no structural breaks) and the Gregory and Hansen test (allowing for one structural break) provide no evidence of a long‐run relationship between the stock prices of Thailand and these countries.

Based on the empirical results obtained from these two residual‐based cointegration tests, potential long‐run benefits exist from diversifying the investment portfolios internationally to reduce the associated systematic risks across countries. However, in the short‐run, three unidirectional Granger causalities run from the stock returns of Hong Kong, the Philippines and the UK to those of Thailand, pair‐wise. Furthermore, there are two unidirectional causalities running from the stock returns of Thailand to those of Indonesia and the USA. Empirical evidence was also found of bidirectional Granger causality, suggesting that the stock returns of Thailand and three of its neighbouring countries (Malaysia, Singapore and Taiwan) are interrelated.

No previous study examines the possibility that the pair‐wise long‐run relationship between the stock prices of Thailand and those of both emerging and developed markets may have been subject to a structural break.

The purpose of this paper is to investigate the efficiency and productivity growth of the Iranian banking industry between 2003 and 2008, encompassing pre‐ and post‐2005‐reform years.

The study uses a new decomposition of the Hicks‐Moorsteen total factor productivity index developed by O'Donnell to analyse efficiency and productivity changes in a banking context. The advantage of this approach over the popular constant‐returns‐to‐scale Malmquist productivity index is that it is free from any assumptions concerning firms' optimising behaviour, the structure of markets, or returns to scale. The paper assumes that the production technology exhibits variable returns to scale.

The banking industry's technical efficiency level – which had improved between 2003 and 2006 – deteriorated after regulatory changes were introduced in Iran. The results obtained also show that during 2006‐2007, the industry's total factor productivity increased by 32 per cent. However, the industry experienced its highest negative scale efficiency rate of 38 per cent (ΔROSE=0.62) and its highest negative efficiency growth of 43 per cent (ΔEff=0.57) during this period. The industry also witnessed a strong drop in productivity in 2007‐2008. Overall, changes in the production possibility set and scale‐efficiency changes exerted dominant effects on productivity changes.

This study is the first to use a comprehensive decomposition of the Hicks‐Moorsteen TFP index to analyse efficiency and productivity changes in a banking context.