Spillover dynamics between ESG returns and ethical fixed-income securities amid geopolitical and market volatility

IF 5.7 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review Pub Date : 2026-07-01 Epub Date: 2026-04-20 DOI:10.1016/j.bir.2026.100830

Bambang Sutrisno, Faruk Balli, Masagus M. Ridhwan, Irwan Trinugroho

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引用次数: 0

Abstract

By analyzing the connectedness of environmental, social, and governance (ESG)–rated firm returns with green bond, conventional sukuk, and green sukuk markets, this study extends prior work on sustainable and Islamic finance. Using weekly data from April 2020 to December 2024, we find that ESG returns have a large effect on conventional sukuk and green sukuk returns. ESG impacts green sukuk, green bonds, and conventional sukuk more in the extreme tails of returns. Next, we identify the determinants of connectedness between ESG returns and sukuk and green bond returns. The connectedness increases during economic downturns. ESG's impact on green bonds rises when market volatility is higher. However, the connection between ESG and green sukuk is enhanced when economic policy uncertainty and geopolitical risks increase. These findings have significant implications for policy makers. The connectedness between ESG indexes and green bonds increases during periods of market volatility, which we interpret as showing greater financial integration of green bonds, and the linkage of ESG indexes with green and conventional sukuk strengthens in the presence of geopolitical and economic uncertainty, to which they are very sensitive.

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地缘政治和市场波动背景下ESG回报与道德固定收益证券之间的溢出效应

通过分析环境、社会和治理（ESG）评级公司回报与绿色债券、传统伊斯兰债券和绿色伊斯兰债券市场之间的联系，本研究扩展了之前关于可持续金融和伊斯兰金融的研究。利用2020年4月至2024年12月的每周数据，我们发现ESG回报对传统伊斯兰债券和绿色伊斯兰债券的回报有很大的影响。ESG对绿色伊斯兰债券、绿色债券和传统伊斯兰债券的影响主要体现在收益的极端尾部。接下来，我们确定了ESG回报与伊斯兰债券和绿色债券回报之间联系的决定因素。在经济低迷时期，这种联系会增强。市场波动越大，ESG对绿色债券的影响越大。然而，当经济政策不确定性和地缘政治风险增加时，ESG与绿色伊斯兰债券之间的联系会增强。这些发现对政策制定者具有重要意义。ESG指数与绿色债券之间的联系在市场波动期间增加，我们将其解释为绿色债券的金融整合程度更高，并且在地缘政治和经济不确定性的存在下，ESG指数与绿色和传统伊斯兰债券的联系加强，它们对这些不确定性非常敏感。

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

Borsa Istanbul Review Multiple-

CiteScore

7.60

自引率

3.80%

发文量

130

审稿时长

26 days

期刊介绍： Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations