Financial technology and ESG market: A wavelet-DCC GARCH approach

Babak Naysary · Keshab Shrestha

23 citations0/0 files storedResearch in International Business and Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Market Dynamics and Volatility Sustainable Finance and Green Bonds

Abstract

This paper examines the co-movement between FinTech and ESG markets from a time-frequency domain perspective. We use an approach suggested by Vacha and Barunik (2012) and include wavelet coherence analysis and dynamic conditional correlation from a multivariate GARCH model (DCC GARCH). We find a significant bi-directional positive relationship between the FinTech and ESG indices. We also find the DCC GARCH process to be mean reverting. The correlations between FinTech and ESG indices, based on both the wavelet coherence and DCC GARCH models, are found to fluctuate over time with the one based on DCC GARCH being higher on the average compared to the one based on wavelet coherence. Finally, we find that the correlations are significant for almost all frequencies except for the 256-day frequency. For the lower frequencies, such as 512-day (approximately 2-year frequency), the correlation increases.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 23 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 2002Dynamic Conditional Correlation 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 2015ESG and financial performance: aggregated evidence from more than 2000 empirical studies 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1995Multivariate Simultaneous Generalized ARCH 2017Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis 2018Impact of digital finance on financial inclusion and stability

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.