ESG performance and corporate volatility: an empirical exploration in an emerging economy
Sudhi Sharma,
Vaibhav Aggarwal,
Reepu
et al.
Abstract:PurposeThis study aims to investigate into the dynamic connection between ESG scores and the volatility term structure for Indian companies listed BSE. The study divides the BSE-100 listed companies into two panels based on their median ESG scores in 2022, creating high and low ESG scoring groups to capture volatility structure.Design/methodology/approachThe study employs time-varying symmetric and asymmetric GARCH models and followed by continuous Wavelet to capture volatility structure and explore comparativ… Show more
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