ESG SPILLOVER AND VOLATILITY
ESG SPILLOVER AND VOLATILITY
Author(s): Diana-Mihaela SanduSubject(s): Economy, Financial Markets, Accounting - Business Administration, Marketing / Advertising
Published by: Studia Universitatis Babes-Bolyai
Keywords: ESG; ESG spillover; industry; volatility;
Summary/Abstract: This study investigates the spillover effects of ESG scores from companies operating in the same industry and their impact on stock return volatility. For this purpose, I considered a sample of European listed companies from 2019 to 2022. The results provide evidence of a spillover effect of ESG scores on the ESG ratings of other companies belonging to the same industry. Furthermore, I observed direct spillover effects of the individual Environmental, Social and Governance pillars, with similar magnitudes. I also found that stock return volatility is directly related to ESG scores, including spillover effects.
Journal: Studia Universitatis Babes Bolyai - Oeconomica
- Issue Year: 68/2023
- Issue No: 3
- Page Range: 1-12
- Page Count: 12
- Language: English