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Geopolitical Risk, Market Indices, and ESG Performance During Crises

Author

Listed:
  • Mohit Saini
  • Mahender Yadav
  • Abel Mawuko Agoba
  • Albert Danso
  • Emmanuel Adu‐Ameyaw

Abstract

The interconnection of stock markets has been extensively examined; however, the spillover effects between conventional markets and ESG (environmental, social, and governance) markets during periods of crisis remain underexplored. This study employs the time‐varying parameter VAR approach to investigate the connectedness between the conventional markets of G7 countries and their ESG counterparts, along with the geopolitical risk (GPR) index and gold index. The results indicate that the Japanese market emerges as the largest risk recipient overall, including during times of crisis. Additionally, the study reveals that market interconnectedness intensifies significantly during the COVID‐19 pandemic compared to normal periods and the Russia–Ukraine war. These insights are valuable for investors and managers seeking to diversify their portfolios in times of crisis.

Suggested Citation

  • Mohit Saini & Mahender Yadav & Abel Mawuko Agoba & Albert Danso & Emmanuel Adu‐Ameyaw, 2025. "Geopolitical Risk, Market Indices, and ESG Performance During Crises," Business Strategy and the Environment, Wiley Blackwell, vol. 34(7), pages 9421-9440, November.
    • Handle: RePEc:bla:bstrat:v:34:y:2025:i:7:p:9421-9440
    DOI: 10.1002/bse.70080
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