Return and risk spillovers between the ESG global index and stock markets: Evidence from time and frequency analysis
Yükleniyor...
Dosyalar
Tarih
2022
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
In this paper, we examine comovements between stock market returns and investments that take into account Environmental, Social, and Governance (ESG) factors by studying the interconnections between the two returns in time and frequency space. We study interdependencies between the conventional stock market and ESG stocks using daily data from 2007 to 2021 for 19 developing and 19 developed countries. Our results show significant comovement patterns between ESG returns and stock returns at various frequencies, time scales, and sample episodes in all countries, particularly during periods of financial turmoil. For the most part, we document positive (in-phase) comovements between the stock returns and ESG returns in developing countries and negative (out-of-phase) comovements in developed countries. This implies limited portfolio gains from adding ESG stocks to portfolio diversification in developing countries but significant gains in developed countries.Copyright (c) 2022 Borsa Istanbul Anonim S, irketi. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
Açıklama
Anahtar Kelimeler
Wavelet coherence analysis, ESG investing, Stock markets, Portfolio diversification, Corporate Social-Responsibility, Financial Performance, Sustainable Development, Impact, Companies
Kaynak
Borsa Istanbul Review
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
22
