A Study on the Relationship Among Stock fund, Bond Fund and ESG

Abstract

This study is an empirical study on the mutual influence of the bond fund provisions, the stock fund provisions and ESG in South Korea. In this study we used data of since January 7, 2012, the bond fund provisions, the stock fund provisions and ESG in South Korea by May 1, 2023. There are three indicators of the bond fund provisions, the stock fund provisions and ESG in South Korea. We try to analyze the mutual influence and the causality among the bond fund provisions, the stock fund provisions and ESG in South Korea. We wish to analyze the extent of cross-influence ot the bond fund provisions, the stock fund provisions and ESG in South Korea. We employ impulse response function based on VAR model of the bond fund provisions, the stock fund provisions and ESG in South Korea as well as variance decomposition of the bond fund provisions, the stock fund provisions and ESG in South Korea after unit root tests, cointegration test and Granger causality test of the bond fund provisions, the stock fund provisions and ESG in South Korea. An important result of this study are summarized as follows: First of all, raw time series data of the bond fund provisions, the stock fund provisions and ESG in South Korea has unit roots. Secondly, first differential data of the bond fund provisions, the stock fund provisions and ESG in South Korea has no unit roots. Third, there is at least one cointegration among the bond fund provisions, the stock fund provisions and ESG in South Korea. Fourth, the correlation between of the stock fund provisions and ESG index is 0.086, the correlation between of the bond fund provisions and ESG index is 0.486. Finally, ESG index Granger Cause the stock fund provisions.