| Autor: |
Chaiwan, Anaspree, Nimanussornkul, Chaiwat |
| Předmět: |
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| Zdroj: |
Library of Progress-Library Science, Information Technology & Computer; Jul-Dec2024, Vol. 44 Issue 3, p19402-1949, 8p |
| Abstrakt: |
Recently, Environmental, Social, and Governance (ESG) have been transitioned from optional to essential for sustainable economy and development not only in country scale but also in global scale. ESG becomes a rapid growth of indexing as the Index Industry Association (IIA) reported the ESG indexes number globally increased by 55 percent in 2022. Since global investors, also funds integrate ESG to make a decision for the portfolio investment. Regulators and policymakers also make an attention on the indexes. Therefore, many companies disclose ESG information and release ESG reports to present their participation and ESG performance. The indexes provide the average returns and risks of selected companies. They are early warning indicators for opportunities creating to avoid losses. Then, returns and volatilities would help investors to evaluate its performance. This issue is essential to analyze the connectedness across ESG indexes. It is also important to figure out the linkage of returns and risk spillovers from one market to others because the globally financial system. The time varying parameter - vector autoregressive (TVP-VAR) is employed to examine return and volatility connectedness of global ESG indexes in both advanced and emerging markets from 2020 to 2024. The linkage of return and volatility spillovers across markets would guide the investors for adjusting their portfolio. Also, the regulators would monitor the global financial stability. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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