Exploring the connectedness between major volatility indexes and worldwide sustainable investments

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2024-12-17 DOI:10.1016/j.irfa.2024.103862

Danyang Xu, Yang Hu, Les Oxley, Boqiang Lin, Yongda He

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引用次数: 0

Abstract

This paper examines the dynamic connectedness between various measures of volatility indexes (e.g., Engle and Campos-Martins (2023)’s global common volatility index (COVOL), VIX, OVX, GVZ) and worldwide ESG leaders’ equity markets, using an aggregated connectedness approach for the period January 2014 to April 2023. Several novel findings are presented. First, the COVID-19 pandemic has a significant impact on the dynamic total connectedness of the system compared to other major global events. Second, the COVOL is a receiver of aggregated global ESG while VIX is a major transmitter. Third, based on the stage of economic development for each ESG market, the aggregated developed-country ESG group plays a more dominant role in the transmission channel. Fourth, based on aggregated ESG markets by region, the VIX is the primary transmitter to four regional ESGs. Last, European ESG market has low connectedness with the major volatility indexes and other regional ESGs. These findings have important and practical implications for investors and portfolio managers in formulating effective risk management strategies for ESG-related investments.

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.