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

IF 2.5 Q2 ECONOMICS Asia-Pacific Financial Markets Pub Date : 2022-10-31 DOI:10.1007/s10690-022-09393-5
Muneer Shaik, Mohd Ziaur Rehman
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引用次数: 5

Abstract

This study investigates the dynamic volatility connectivity of important environmental, social, and governance (ESG) stock indexes from May 2010 to March 2021. The empirical research is focused on five major S&P ESG stock indexes from the US, Latin America, Europe, the Middle East and Africa, and Asia Pacific regions. The study reveals that ESG stock indexes in the Middle East Africa, and Latin America are net shock transmitters, whereas the United States and Asia Pacific are net volatility receivers. Furthermore, the study finds that bilateral intercorrelations are higher among US, Latin America, and Europe region group pairs and weaker in relation to Middle East Africa and Asia Pacific region group pairs, indicating the presence of contagion within developed and/or emerging regions, which has relevance for portfolio and risk management.

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主要环境、社会和治理(ESG)股票指数的动态波动连通性:基于DCC-GARCH模型的证据
本文研究了2010年5月至2021年3月期间重要的环境、社会和治理(ESG)股票指数的动态波动连通性。实证研究主要集中在美国、拉丁美洲、欧洲、中东和非洲以及亚太地区的五大标准普尔ESG股票指数。研究表明,中东、非洲和拉丁美洲的ESG股票指数是净震荡发射器,而美国和亚太地区是净波动接收器。此外,研究发现,美国、拉丁美洲和欧洲地区组对的双边相关性较高,而中东、非洲和亚太地区组对的双边相关性较弱,这表明在发达和/或新兴地区存在传染,这与投资组合和风险管理有关。
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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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