Risk spillover analysis across worldwide ESG stock markets: New evidence from the frequency-domain

Gao, Yang; Li, Yangyang; Zhao, Chengjie; Wang, Yaojun

doi:10.1016/j.najef.2021.101619

Cited by 38 publications

(12 citation statements)

References 43 publications

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“…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. Their overall system has a small-world structure, with various risk spillover aspects in the interior locations.…”

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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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

View full text Add to dashboard Cite

show abstract

Section: Introductionmentioning

confidence: 99%

“…Investors' communities have also committed to diverting major investments away from dirty fossil fuels (Dordi et al, 2022; Egli et al, 2022). Corporations have started developing strategies to showcase their long‐term sustainable goals to establish a green legacy (Fuente et al, 2022; Gao et al, 2022). The ongoing thrust has coined words like environmental, social, and governance (ESG), responsible and sustainable investing, and green and dirty investments to reflect the embedding sentiment toward a sustainable future.…”

Section: Introductionmentioning

confidence: 99%

Impact of crude oil volatility jumps on sustainable investments: Evidence from India

Dutta

Kanjilal

Ghosh

et al. 2023

Journal of Futures Markets

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This study examines the impact of crude oil volatility jumps on the realized volatility (RV) of green and dirty stocks in India. In doing so, we first estimate the time‐varying jumps in oil market implied volatility index (OVX) and then augment the heterogeneous autoregressive (HAR) process with the information on such jumps. Our sample runs from December 2012 to April 2022, which includes 2328 data points. Comparing a range of HAR‐type models, we find that crude oil volatility jumps provide additional information, which is not contained even in the OVX index itself. In particular, the HAR–RV model that considers both leverage effects and the information on volatility jumps produces superior forecasts compared with the existing approaches. The economic significance of these results is also supported by a simple value‐at‐risk analysis.

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“…Barunik and Krehlik [7] proposed the BK index to study the level of risk spillover under uneven frequency shocks, making the connectedness method more comprehensive. is research method has also been applied in some studies [8,9]. is paper analyzes the dynamic volatility spillovers among the international stock markets during the Russian-Ukraine con ict.…”

Section: Introductionmentioning

confidence: 99%

A Study on Volatility Spillovers among International Stock Markets during the Russia‐Ukraine Conflict

Huang

et al. 2022

Discrete Dynamics in Nature and Society

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This paper analyzes the dynamic time-frequency volatility spillovers among the international stock markets during the Russian-Ukraine conflict. We use the VAR-based connectedness framework to calculate the volatility spillovers. Results show that (1) the trend of the total spillover is consistent with the time of the Russian-Ukraine conflict; (2) Russian stock market is the primary source and net exporter of risk; (3) the Russian government has effectively controlled the further spread of risk through policy adjustments; and (4) Russian stock market may generate long-run volatility spillovers among the international stock market. We add research related to the impact of the Russia-Ukraine conflict on international stock markets by analyzing the results of the volatility spillovers.

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Risk spillover analysis across worldwide ESG stock markets: New evidence from the frequency-domain

Cited by 38 publications

References 43 publications

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

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

Impact of crude oil volatility jumps on sustainable investments: Evidence from India

A Study on Volatility Spillovers among International Stock Markets during the Russia‐Ukraine Conflict

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