Article detail · 2022
Return and risk spillovers between the ESG global index and stock markets: Evidence from time and frequency analysis
- Year
- 2022
- Type
- article
Data source split
- YÖKSİS YÖKSİS article record
- YÖKSİS venue BORSA ISTANBUL REVIEW
- Catalog match (ISSN) Borsa Istanbul Review
- OpenAlex OpenAlex enrichment (abstract, citations, topics)
Abstract
OpenAlex · English
In this paper, we examine comovements between stock market returns and investments that take into account Environmental, Social, and Governance (ESG) factors by studying the interconnections between the two returns in time and frequency space. We study interdependencies between the conventional stock market and ESG stocks using daily data from 2007 to 2021 for 19 developing and 19 developed countries. Our results show significant comovement patterns between ESG returns and stock returns at various frequencies, time scales, and sample episodes in all countries, particularly during periods of financial turmoil. For the most part, we document positive (in-phase) comovements between the stock returns and ESG returns in developing countries and negative (out-of-phase) comovements in developed countries. This implies limited portfolio gains from adding ESG stocks to portfolio diversification in developing countries but significant gains in developed countries.
Topics
Citations
OpenAlex cited_by_count. Not a WoS or Scopus citation count; those sources have no separate column here.
76 citations
OpenAlex cited_by_count (cache / database)
4 publications in the local catalog that cite this work (OpenAlex reference match; not the full global list).
- Dynamic causality between ESG indices and traditional asset classes: insights from global crises using the CWTC method 2026
- Dynamic causality between ESG indices and traditional asset classes: insights from global crises using the CWTC method 2025
- YEŞİL TAHVİLLER İLE HİSSE SENEDİ, TAHVİL, EMTİA VE KRİPTO PİYASALARI ARASINDAKİ BAĞLANTILAR: DALGACIK TUTARLILIĞI YAKLAŞIMI 2026
- ESG HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ GETİRİ BAĞLANTILILIĞI VE ESG İLGİSİNİN GETİRİ BAĞLANTILILIĞINA ETKİSİ 2025