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ESG and sustainable development: Evidence from DCC-GARCH R2 decomposed connectedness measures

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  • Boukef Jlassi, Nabila
  • Lahiani, Amine
  • Mefteh-Wali, Salma
  • Mselmi, Nada

Abstract

This research investigates the time-varying connectedness between ESG, global environment, green economy, clean energy and energy innovation. Employing the novel DCC-GARCH R2 decomposed connectedness technique, findings show that dynamic total connectedness varies over time. The green economy and energy innovation are identified as the primary transmitters of volatility shocks, while ESG and clean energy act as net receivers. Notably, the global environment index shifts from being a net transmitter to a net receiver of shocks in 2020. The results have important implications for policymakers, investors and risk managers.

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  • Boukef Jlassi, Nabila & Lahiani, Amine & Mefteh-Wali, Salma & Mselmi, Nada, 2025. "ESG and sustainable development: Evidence from DCC-GARCH R2 decomposed connectedness measures," Finance Research Letters, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325004854
    DOI: 10.1016/j.frl.2025.107222
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