Are Sustainability Indices Infected by the Volatility of Stock Indices? Analysis before and after the COVID-19 Pandemic

Considering the growing importance of sustainable investments worldwide, we explore volatility transmission effects between EURO STOXX Sustainability Index and stock market indexes its stocks. Using daily index return data, during 2000–2022, covering COVID-19 pandemic, Multivariate Generalized Auto-Regressive Conditional Heteroskedasticity (MGARCH) models are used to if indices felt pandemic implied any evolution in already volatilities existing these indices’ over sustainability index. Results point great dependence that has on movements. The period did not become decisive reversing a previous correlation trajectory indexes. Provided is observed exclusively financial economic terms, but triple bottom line context (including social environmental sides), should verify high influence index, as results out. Policymakers investors be aware take measures turn more independent.