Systemic risk sharing among conventional and socially responsible investments

Abstract The study develops a systemic contagion index to examine systemic risk sharing between conventional and socially responsible investments during different phases of the economy, including the COVID-19 pandemic and the Russian–Ukraine war. We construct a financial market network via Granger causality and estimate the network and nodal properties to explain contagion. Our results demonstrate that contagion was at its peak during the COVID-19 pandemic. Compared with that during the vaccination period, contagion during the Russia–Ukraine war increased, reflecting market uncertainty due to the war. The results indicate that crude oil, the US dollar, gold and real estate are net receivers of shocks. Our findings can help investors, market participants, and international businesses strategize themselves against uncertainties due to contagion in the financial market.