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Sustainability and stability: Will ESG investment reduce the return and volatility spillover effects across the Chinese financial market?
16 references·7 citing·36 second hop
Sustainability and stability: Will ESG investment reduce the return and volatility spillover effects across the Chinese financial market? (2023)Sustainability and stability: Will ESG in…How does green finance affect green total factor productivity? Evidence from China (2022)How does green finance affect…Firms and social responsibility: A review of ESG and CSR research in corporate finance (2021)Firms and social responsibili…The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China (2020)The role of ESG performance d…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…COVID-19 and finance: Agendas for future research (2020)COVID-19 and finance: Agendas…Does Corporate Social Responsibility Affect Information Asymmetry? (2016)Does Corporate Social Respons…ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)ESG and financial performance…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Does Corporate Social Responsibility Affect the Cost of Capital? (2010)Does Corporate Social Respons…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Information asymmetry, corpor…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Exploring the dynamic nexus of traditional and digital assets in inflationary times: The role of safe havens, tech stocks, and cryptocurrencies (2025)Exploring the dynamic nexus o…Dynamic Connectedness and Hedging Effectiveness Between Green Bonds, ESG Indices, and Traditional Assets (2025)Dynamic Connectedness and Hed…Does ESG Performance Enhance Corporate Green Technological Innovation? Micro Evidence from Chinese-Listed Companies (2025)Does ESG Performance Enhance …A more sustainable future: Can politically connected CEOs spur the nexus between ESG performance and firm financial performance? (2024)A more sustainable future: Ca…Impact and mechanism analysis of ESG ratings on the efficiency of green technology innovation (2023)Impact and mechanism analysis…ESG rating and financial risk of mining industry companies (2023)ESG rating and financial risk…Carbon reduction effect of ESG: empirical evidence from listed manufacturing companies in China (2023)Carbon reduction effect of ES…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)A power primer. (1992)On Persistence in Mutual Fund Performance (1997)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)The robustness of identified VAR conclusions about money (1998)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Initial conditions and moment restrictions in dynamic panel data models (1998)Corporate social responsibility and access to finance (2013)Corporate green bonds (2021)Econometric policy evaluation: A critique (1976)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Were There Regime Switches in U.S. Monetary Policy? (2006)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The economic implications of corporate financial reporting (2005)Revisiting the relation between environmental performance and environmental disclosure: An empirical analysis (2007)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)Extreme Correlation of International Equity Markets (2001)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2001Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature7,391 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2015ESG and financial performance: aggregated evidence from more than 2000 empirical studies4,715 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2010Does Corporate Social Responsibility Affect the Cost of Capital?3,461 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 2021Firms and social responsibility: A review of ESG and CSR research in corporate finance2,874 cited
  • 2020The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China1,686 cited
  • 2020COVID-19 and finance: Agendas for future research1,596 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions

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1,586 cited
  • 2022How does green finance affect green total factor productivity? Evidence from China1,183 cited
  • 2016Does Corporate Social Responsibility Affect Information Asymmetry?831 cited
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    • 2025Exploring the dynamic nexus of traditional and digital assets in inflationary times: The role of safe havens, tech stocks, and cryptocurrencies72 cited
    • 2024A more sustainable future: Can politically connected CEOs spur the nexus between ESG performance and firm financial performance?41 cited
    • 2025Dynamic Connectedness and Hedging Effectiveness Between Green Bonds, ESG Indices, and Traditional Assets40 cited
    • 2023Carbon reduction effect of ESG: empirical evidence from listed manufacturing companies in China38 cited
    • 2025Does ESG Performance Enhance Corporate Green Technological Innovation? Micro Evidence from Chinese-Listed Companies14 cited