Title
The static and dynamic connectedness of environmental, social, and governance investments: International evidence
Source of Publication
Economic Modelling
Abstract
© 2020 Elsevier B.V. We investigate the connectedness of the most significant global equity indices that comprise companies with the highest environmental, social, and governance (ESG) performance. Motivated by the rapid growth of socially responsible investing during the last two decades, we examine whether these investments are prone to similar exogenous economic and financial shocks as their conventional counterparts. Employing a variety of influential macroeconomic and financial variables over the period 10/1/2007–4/15/2020, we document statistically significant and consistent transmissions between the employed equity indices throughout the sample period. In particular, the connectedness exhibits dynamic patterns during three periods: the European sovereign debt crisis, the systemic Greek problems, and the outbreak of the coronavirus pandemic. We also find that developed equity markets are the shock transmitters to Asian and other emerging markets. Our results highlight the risk of contagion and the diminishing portfolio diversification benefits of these equity indices during turbulent periods.
Document Type
Article
First Page
112
Last Page
124
Publication Date
12-1-2020
DOI
10.1016/j.econmod.2020.08.007
Recommended Citation
Umar, Zaghum; Kenourgios, Dimitris; and Papathanasiou, Sypros, "The static and dynamic connectedness of environmental, social, and governance investments: International evidence" (2020). Scopus Indexed Articles. 17.
https://zuscholars.zu.ac.ae/scopus-indexed-articles/17