The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model
نویسندگان
چکیده
This study investigates the dynamic volatility connectivity of important environmental, social, and governance (ESG) stock indexes from May 2010 to March 2021. The empirical research is focused on five major S&P ESG US, Latin America, Europe, Middle East Africa, Asia Pacific regions. reveals that in America are net shock transmitters, whereas United States receivers. Furthermore, finds bilateral intercorrelations higher among Europe region group pairs weaker relation Africa pairs, indicating presence contagion within developed and/or emerging regions, which has relevance for portfolio risk management.
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چکیده پایان نامه (شامل خلاصه، اهداف، روش های اجرا و نتایج به دست آمده): کار جمع آوری گو یش های محلی در سال های اخیر شتاب امیدوار کننده ای به خود گرفته است. شاید از بارزترین اهداف جمع آوری گویش های مختلف، ثبت و ضبط آن، جلوگیری از نابودی و مهمتر از همه حل مشکلات دستوری زبان رسمی باشد. دقت در فرآیند های زبانی گویش های محلی نوع ارتباط مردم نواحی مختلف با پیرامون نشان را به ما نشان خواهد داد. از س...
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ژورنال
عنوان ژورنال: Asia-pacific Financial Markets
سال: 2022
ISSN: ['1573-6946', '1387-2834']
DOI: https://doi.org/10.1007/s10690-022-09393-5