The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model

Shaik, Muneer; Rehman, Mohd Ziaur

doi:10.1007/s10690-022-09393-5

Cited by 19 publications

(10 citation statements)

References 60 publications

(54 reference statements)

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“…The COVID-19 pandemic has had a profound impact on the global economy, affecting various asset classes in different ways [35]. The connection between green initiatives and ESG scores and how they affected market performance during this crisis is one topic of research.…”

Section: Green Initiatives and Esg Scores On Firm Market Performance ...mentioning

confidence: 99%

Assessing the impact of ESG scores on market performance in polluting companies: a post-COVID-19 analysis

Pasupuleti,

Ayyagari,

Akuthota

2024

Discov Sustain

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The study aims to unravel the impact of Environmental Social Governance (ESG) scores on the firm’s market performance of polluting companies. Moreover, the study also finds out moderating effect of green initiatives. The study’s population consisted of 67 companies that were chosen from the list of polluting companies given by the Central Pollution Control Board of India for the post-COVID-19 timeframe of 2020–2023. Regression analysis was conducted to analyze the relationship between the variables. The results indicate that the performance of ESG will improve the financial performance of the company. In most cases, the results suggest that firms with heightened ESG performances have better market performance. Furthermore, the results show that there is no moderating effect of green initiatives. This study’s findings have important implications for stakeholders. The examination’s findings should help managers understand the state of ESG and financial market performance after the coronavirus crisis, as well as the relationship between FP and ESG responsibility fulfilment. The study has significant practical implications that may help managers create plans and guidelines for implementing and improving ESG scores to maximize performance. Population was the major limitation of the study.

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Section: Green Initiatives and Esg Scores On Firm Market Performance ...mentioning

confidence: 99%

Assessing the impact of ESG scores on market performance in polluting companies: a post-COVID-19 analysis

Pasupuleti,

Ayyagari,

Akuthota

2024

Discov Sustain

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“…For example, Akhtaruzzaman, Boubaker, and Umar (2022) investigated the relationship between the media coverage index (MCI) and ESG leader indices using the TVP-VAR framework of the DY technique and discovered a strong association during the peak of the COVID-19 pandemic when the US was a net receiver of shocks, confirming that the US was the most affected region during the pandemic. According to Shaik and Rehman (2022), ESG stock indices in the Middle East, Africa and Latin America are net shock transmitters, but those in the United States and Asia-Pacific are net volatility receivers. Furthermore, Gao, Li, Zhao, and Wang (2022) use the DY technique to discover that, in most situations, the developed North American market is at the heart of outward risk spillover in global ESG stock markets.…”

Section: Review Of Related Literaturementioning

confidence: 99%

Using green and ESG assets to achieve post-COVID-19 environmental sustainability

Hasan

Rashid

Hossain

et al. 2023

FREP

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PurposeThis research explores the spillovers and portfolio implications for green bonds and environmental, social and governance (ESG) assets in the context of the rapidly expanding trend in green finance investments and the need for a green recovery in the post-COVID-19 era.Design/methodology/approachThis study utilizes Diebold and Yilmaz’s (2014) spillover method and portfolio strategies (hedge ratio, optimal weights and hedging effectiveness) for the data starting from February 29, 2012, to March 14, 2022.FindingsThe study’s findings reveal that the lower volatility spillover is evidenced between the green bonds and ESG stocks during tranquil and turbulent periods (e.g. COVID-19 and Russia-Ukraine War). Furthermore, hedging costs are lower both in normal times and during economic slumps. Investing the bulk of the funds in green bonds makes it possible to achieve maximum hedging effectiveness between the S&P green bond (GB) and the S&P 500 ESG.Practical implicationsBoth investors and policymakers may use these findings to make wise investment and policy choices to achieve post-COVID environmental sustainability.Originality/valueUnlike previous research, this is the first to explore the interconnectedness among the major global and country-specific green bonds and ESG assets. The major findings of this study about the lower volatility spillovers and hedging costs between green bonds and ESG assets during the tranquil and turbulent periods may contribute to the post-COVID investment portfolio for environmental sustainability.

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“…While, Bouri et al (2021) investigated spillover and connectedness among the oil market, stock market, and foreign exchange market and found spillover among these assets markets. Recent studies have also found a connection between environment, social, and governance stocks (Shaik & Rehman, 2023); financial markets and systematic risk (So et al, 2021); financial market connectedness in G-7 (Das, Rout, & Khatun, 2023); stock market connectedness in BRICS (Hung, 2021a). The outbreak of Covid-19 has caused a significant impact on financial markets worldwide (Baek et al, 2020).…”

Section: Literature Reviewmentioning

confidence: 99%

Exchange Rate and Stock Prices Volatility Connectedness and Spillover during Pandemic Induced-Crises: Evidence from BRICS Countries

Hussain

Bashir

Rehman

2023

Asia-Pac Financ Markets

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This paper investigated exchange rate and stock price volatility connectedness and spillover in Brazil, Russia, India, China, and South Africa (BRICS) during pandemic-induced crises. We first extracted volatility using the Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) model. Then volatility connectedness and spillover were investigated by using (Diebold and Yilmaz, International Journal of Forecasting, 28 (1), 57–66, 2012) method. We find that exchange rate volatility and stock return volatilities are connected during pandemic-induced crises. The study also finds volatilities spillover among countries in the sample. Russia has strong volatility connectedness with India in these financial markets. The direction of volatility spillover is from Russia to India. Similarly, Brazil has strong volatility connectedness with South Africa and the direction volatility spillover is from Brazil to South Africa. Finally, China has a weak volatility connection with the remaining BRICS countries. Thus, the volatility transfer in these financial markets and across BRICS countries has economic implications.

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The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model

Cited by 19 publications

References 60 publications

Assessing the impact of ESG scores on market performance in polluting companies: a post-COVID-19 analysis

Assessing the impact of ESG scores on market performance in polluting companies: a post-COVID-19 analysis

Using green and ESG assets to achieve post-COVID-19 environmental sustainability

Exchange Rate and Stock Prices Volatility Connectedness and Spillover during Pandemic Induced-Crises: Evidence from BRICS Countries

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