Evaluating the Resilience of ESG Investments in European Markets During Turmoil Periods

IF 8.3 2区管理学 Q1 BUSINESS

Corporate Social Responsibility and Environmental Management Pub Date : 2025-04-26 DOI:10.1002/csr.3225

Barbara Iannone, Pierdomenico Duttilo, Stefano Antonio Gattone

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Abstract

This study investigates the resilience of Environmental, Social, and Governance (ESG) investments during periods of financial instability, comparing them with traditional equity indices of the three largest economies in the European Union by gross domestic product: Germany, France, and Italy. Using daily returns from January 2018 to December 2024, the analysis explores the effects of key global disruptions such as the COVID-19 pandemic and the Russia-Ukraine conflict on market performance. A mixture of two generalised normal distributions (MGND) and EGARCH-in-mean models is used to identify periods of market turmoil and assess volatility dynamics. The findings suggest that during crises, ESG investments exhibit lower volatility in Germany, while their volatility remains comparable to that of traditional indices in Italy and France. Thus, the volatility of the ESG indices shows country-specific variations in the European context. These results underscore the importance of integrating ESG factors into long-term investment strategies, particularly in the face of unpredictable financial turmoil.

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评估动荡时期欧洲市场ESG投资的弹性

本研究考察了环境、社会和治理（ESG）投资在金融不稳定时期的弹性，并将其与按国内生产总值计算的欧盟三大经济体（德国、法国和意大利）的传统股票指数进行了比较。该分析利用2018年1月至2024年12月的日回报率，探讨了COVID-19大流行和俄罗斯-乌克兰冲突等重大全球动荡对市场表现的影响。两个广义正态分布（MGND）和EGARCH-in-mean模型的混合用于识别市场动荡时期和评估波动动态。研究结果表明，在危机期间，ESG投资在德国表现出较低的波动性，而其波动性仍与意大利和法国的传统指数相当。因此，ESG指数的波动性显示了欧洲各国的具体差异。这些结果强调了将ESG因素纳入长期投资策略的重要性，特别是在面对不可预测的金融动荡时。

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来源期刊

Corporate Social Responsibility and Environmental Management Multiple-

CiteScore

17.20

自引率

16.30%

发文量

189

期刊介绍： Corporate Social Responsibility and Environmental Management is a journal that publishes both theoretical and practical contributions related to the social and environmental responsibilities of businesses in the context of sustainable development. It covers a wide range of topics, including tools and practices associated with these responsibilities, case studies, and cross-country surveys of best practices. The journal aims to help organizations improve their performance and accountability in these areas. The main focus of the journal is on research and practical advice for the development and assessment of social responsibility and environmental tools. It also features practical case studies and evaluates the strengths and weaknesses of different approaches to sustainability. The journal encourages the discussion and debate of sustainability issues and closely monitors the demands of various stakeholder groups. Corporate Social Responsibility and Environmental Management is a refereed journal, meaning that all contributions undergo a rigorous review process. It seeks high-quality contributions that appeal to a diverse audience from various disciplines.