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Return and risk spillovers between the ESG global index and stock markets: Evidence from time and frequency analysis
16 references·7 citing·51 second hop
Return and risk spillovers between the ESG global index and stock markets: Evidence from time and frequency analysis (2022)Return and risk spillovers between the ES…The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China (2020)The role of ESG performance d…Foundations of ESG Investing: How ESG Affects Equity Valuation, Risk, and Performance (2019)Foundations of ESG Investing:…Towards a more ethical market: the impact of ESG rating on corporate financial performance (2018)Towards a more ethical market…The Impact of Sustainability Practices on Corporate Financial Performance: Literature Trends and Future Research Potential (2018)The Impact of Sustainability …Does ESG performance have an impact on financial performance? Evidence from Germany (2017)Does ESG performance have an …ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)ESG and financial performance…Relationship Between Sustainable Development and Financial Performance: International Empirical Research (2013)Relationship Between Sustaina…Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (2011)Co-movement of energy commodi…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…The Heterogeneity of Socially Responsible Investment (2008)The Heterogeneity of Socially…Socially responsible investments: Institutional aspects, performance, and investor behavior (2008)Socially responsible investme…Sustainable Development and Corporate Performance: A Study Based on the Dow Jones Sustainability Index (2007)Sustainable Development and C…A Critical Review of Sustainable Business Indices and their Impact (2007)A Critical Review of Sustaina…Is there a Difference? The Performance Characteristics of SRI Equity Indices (2006)Is there a Difference? The Pe…Socially Responsible Investment: A Global Revolution (2002)Socially Responsible Investme…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…ESG‐Firm Performance Nexus: Evidence From an Emerging Economy (2025)ESG‐Firm Performance Nexus: E…Dynamic Connectedness and Hedging Effectiveness Between Green Bonds, ESG Indices, and Traditional Assets (2025)Dynamic Connectedness and Hed…Impact of AI adoption on ESG performance: Evidence from Chinese firms (2024)Impact of AI adoption on ESG …ESG reputational risk and market valuation: Evidence from the European banking industry (2024)ESG reputational risk and mar…Demystifying the dynamic relationship between news sentiment index and ESG stocks: Evidence from time-frequency wavelet analysis (2024)Demystifying the dynamic rela…Does investor sentiment influence ESG stock performance? Evidence from India (2023)Does investor sentiment influ…An Improved TOPSIS Model Based on Cumulative Prospect Theory: Application to ESG Performance Evaluation of State-Owned Mining Enterprises (2023)An Improved TOPSIS Model Base…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)Dynamic Conditional Correlation (2002)Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Multifractal analysis of financial markets: a review (2019)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Common risk factors in the returns on stocks and bonds (1993)A Survey of Corporate Governance (1997)On Persistence in Mutual Fund Performance (1997)Corporate social responsibility and stakeholder value maximization: Evidence from mergers (2013)Sustainable investing in equilibrium (2020)THE CORPORATE SOCIAL PERFORMANCE-FINANCIAL PERFORMANCE LINK (1997)Corporate Social and Financial Performance: A Meta-Analysis (2003)The Social Responsibility of Business Is to Increase Its Profits (2007)Sustainability Practices and Corporate Financial Performance: A Study Based on the Top Global Corporations (2011)Hidden Connections: The Link Between Board Gender Diversity and Corporate Social Performance (2012)Managing Corporate Sustainability and CSR: A Conceptual Framework Combining Values, Strategies and Instruments Contributing to Sustainable Development (2013)A power primer. (1992)G*Power 3: A flexible statistical power analysis program for the social, behavioral, and biomedical sciences (2007)Environmental, Social and Governance (ESG) Scores and Financial Performance of Multilatinas: Moderating Effects of Geographic International Diversification and Financial Slack (2019)The Influence of Firm Size on the ESG Score: Corporate Sustainability Ratings Under Review (2019)Firms and social responsibility: A review of ESG and CSR research in corporate finance (2021)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Knowledge of the Firm, Combinative Capabilities, and the Replication of Technology (1992)Strategic management a stakeholder approach (2010)Impact of ESG performance on firm value and profitability (2022)Sustainable development, ESG performance and company market value: Mediating effect of financial performance (2022)Environmental, social, and governance (ESG) performance and financial outcomes: Analyzing the impact of ESG on financial performance (2023)Beyond the business case for corporate sustainability (2002)What We Know and Don’t Know About Corporate Social Responsibility (2012)Scoping the Evolution of Corporate Social Responsibility (CSR) Research in the Sustainable Development Goals (SDGs) Era (2020)Social sustainability tensions in multi-tier supply chain: A systematic literature review towards conceptual framework development (2020)Exploring the relationship of ESG score and firm value using cross-lagged panel analyses: case of the Indian energy sector (2021)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)The Impact of Corporate Sustainability on Organizational Processes and Performance (2014)ESG Importance for Long-Term Shareholder Value Creation: Literature vs. Practice (2021)Inside the ESG ratings: (Dis)agreement and performance (2021)Past, present, and future of sustainable finance: insights from big data analytics through machine learning of scholarly research (2022)ESG activities and banking performance: International evidence from emerging economies (2020)Connecting the COVID-19 pandemic, environmental, social and governance (ESG) investing and calls for ‘harmonisation’ of sustainability reporting (2021)
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References

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  • 2017Does ESG performance have an impact on financial performance? Evidence from Germany979 cited
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  • 2011Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis498 cited
  • 2008The Heterogeneity of Socially Responsible Investment393 cited
  • 2018Towards a more ethical market: the impact of ESG rating on corporate financial performance372 cited
  • 2002Socially Responsible Investment: A Global Revolution369 cited
  • 2006Is there a Difference? The Performance Characteristics of SRI Equity Indices

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317 cited
  • 2007A Critical Review of Sustainable Business Indices and their Impact303 cited
  • 2013Relationship Between Sustainable Development and Financial Performance: International Empirical Research269 cited
  • Cited by

    • 2023Does investor sentiment influence ESG stock performance? Evidence from India79 cited
    • 2025ESG‐Firm Performance Nexus: Evidence From an Emerging Economy52 cited
    • 2024Impact of AI adoption on ESG performance: Evidence from Chinese firms41 cited
    • 2025Dynamic Connectedness and Hedging Effectiveness Between Green Bonds, ESG Indices, and Traditional Assets40 cited
    • 2024ESG reputational risk and market valuation: Evidence from the European banking industry37 cited
    • 2023An Improved TOPSIS Model Based on Cumulative Prospect Theory: Application to ESG Performance Evaluation of State-Owned Mining Enterprises37 cited
    • 2024Demystifying the dynamic relationship between news sentiment index and ESG stocks: Evidence from time-frequency wavelet analysis26 cited