Connectedness across environmental, social, and governance (ESG) indices: evidence from emerging markets

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2024-09-25 DOI:10.1016/j.ribaf.2024.102596

Ata Assaf , Marcelo Cabus Klotzle , Rafael Baptista Palazzi , Ender Demir

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引用次数: 0

Abstract

Understanding the spillover effects of environmental, social, and governance (ESG) indexes in emerging economies is crucial to gauge risk of contagion and the potential reduction in ESG investments. Thus, this study examines the interconnectedness of ESG emerging markets indices. To measure the spillover effects, we employ the Diebold and Yilmaz (2009) model and the time-varying parameter structural vector autoregression model (TPV-VAR). In addition, we analyze the potential influence of various risk factors, including economic policy uncertainty (EPU), the fear index (VIX), Brent oil, Daily Infectious Disease Equity Market Volatility Tracker (ID-EMV), and long-term interest rates (10YTB), on ESG connectedness. Our analysis is based on a dataset from November 2014 to February 2022, including the COVID-19 pandemic crisis. Our results reveal significant spillovers among these markets, with the South African market playing a dominant role in transmitting and receiving shocks from other markets. Furthermore, we document the significant impact of various risk factors on the interconnectedness of ESG emerging markets. Our findings have pivotal implications for the risk of contagion in these markets, particularly during periods of crisis, such as the COVID-19 pandemic. Therefore, our research provides valuable insights for investors, regulators, and policymakers seeking to promote sustainable investing and manage systemic risk in emerging markets.

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环境、社会和治理（ESG）指数之间的关联性：来自新兴市场的证据

了解新兴经济体中环境、社会和治理（ESG）指数的溢出效应对于衡量环境、社会和治理投资的蔓延风险和潜在减少至关重要。因此，本研究考察了新兴市场 ESG 指数的相互关联性。为了衡量溢出效应，我们采用了 Diebold 和 Yilmaz（2009 年）模型和时变参数结构向量自回归模型（TPV-VAR）。此外，我们还分析了经济政策不确定性（EPU）、恐惧指数（VIX）、布伦特原油、每日传染病股票市场波动跟踪（ID-EMV）和长期利率（10YTB）等各种风险因素对 ESG 关联性的潜在影响。我们的分析基于 2014 年 11 月至 2022 年 2 月的数据集，包括 COVID-19 大流行危机。我们的分析结果表明，这些市场之间存在明显的溢出效应，南非市场在传递和接收来自其他市场的冲击方面发挥着主导作用。此外，我们还记录了各种风险因素对 ESG 新兴市场相互关联性的重大影响。我们的研究结果对这些市场的传染风险具有关键性影响，尤其是在危机时期，如 COVID-19 大流行时期。因此，我们的研究为投资者、监管者和政策制定者提供了宝贵的见解，以促进可持续投资，管理新兴市场的系统性风险。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance