The interconnectedness and high integration among the global markets have reduced the portfolio diversification opportunities of international investors. In view of this, considering the rise of Socially Responsible Investments (SRI) and the Clean-Renewable energy & Clean-Technology energy (C&RTE) asset classes, the objective of this research is to examine risk transmission and the portfolio diversification prospects across the SRI, C&RTE, and the implied volatility indices (VIX) of major commodities (oil, silver, and the gold). To uncover the spillover and the risk transmission, we employ the approach of Dynamic conditional correlation (DCC-GARCH) along with the Asymmetric DCC-GARCH and VAR-GARCH. The findings exhibit a strong ability of volatility indices to hedge risks associated with SRIs and C&RTE investments as asymmetric-GARCH confirms that volatility indices have a negative correlation with most of the socially responsible and clean energy and technology equity indices. The findings confirm that the implied volatility indices of gold and silver exhibit the best hedging tool against SRIs while oil is the best hedging tool for C&RTE. During Covid-19, generally oil price volatility index is positively correlated with SRI indices whereas the silver and the gold volatility indices are negatively correlated with the C&RTE. More importantly, we find that hedging effectiveness and risk diversification are facilitated by the adaptive behavior of commodities, confirmed by the Adaptive Market Hypothesis (AMH) through the Generalized Spectral (GS) test. Moreover, we also find some evidence of a time-varying pattern in the hedging ratio and the hedging effectiveness. Finally, we show utility gains from hedging to be positive irrespective of whether we consider transaction costs or not. The findings of the study could be helpful for portfolio managers, brokers, and market participants to draw the role of implied volatilities of commodities in hedging the risk associated with SRIs and C&RTE investments.

全球市场之间的相互联系和高度一体化减少了国际投资者投资组合多元化的机会。有鉴于此，考虑到社会责任投资 (SRI) 和清洁可再生能源和清洁技术能源 (C&RTE) 资产类别的兴起，本研究的目的是检验 SRI 的风险传递和投资组合多元化前景、C&RTE 以及主要商品（石油、白银和黄金）的隐含波动率指数 (VIX)。为了揭示溢出和风险传递，我们采用动态条件相关 (DCC-GARCH) 方法以及非对称 DCC-GARCH 和 VAR-GARCH。调查结果表明波动率指数具有很强的对冲与 SRI 和 C& 相关的风险的能力 作为不对称的 RTE 投资 - GARCH 证实波动率指数与大多数具有社会责任感的清洁能源和技术股票指数呈负相关。研究结果证实，黄金和白银的隐含波动率指数是针对 SRI 的最佳对冲工具，而石油是 C&RTE 的最佳对冲工具。在 Covid-19 期间，石油价格波动指数通常与 SRI 指数正相关，而白银和黄金波动指数与 C&RTE 负相关。更重要的是，我们发现商品的适应性行为促进了对冲有效性和风险分散，这一点已通过广义光谱 (GS) 测试的适应性市场假说 (AMH) 得到证实。而且，我们还发现了对冲比率和对冲有效性随时间变化模式的一些证据。最后，无论我们是否考虑交易成本，我们都表明对冲带来的效用收益是正的。该研究的结果可能有助于投资组合经理、经纪人和市场参与者了解商品隐含波动率在对冲与 SRI 和 C&RTE 投资相关的风险中的作用。