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Asymmetric effects on asymmetry: The resilience of ESG indices

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  • Jiménez, Inés
  • Mora-Valencia, Andrés
  • Perote, Javier

Abstract

This paper implements a recently developed multivariate volatility model, based on multivariate Gram-Charlier expansions, that incorporates high-order moment spillovers across assets, to examine the skewness and kurtosis transmission between the S&P500 index and Environmental, Social and Governance (ESG) based Exchange Traded Funds (ETFs). The evidence shows that ESG ETFs are not immune to tail dependence transmission (cross-kurtosis spillover). However, Governance and Social focused assets appear more resilient to transitory shocks originating in other markets (cross-skewness spillover). Interestingly, Environment-focused ETFs exhibit significant cross-skewness linkages with traditional market indices.

Suggested Citation

  • Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2026. "Asymmetric effects on asymmetry: The resilience of ESG indices," Finance Research Letters, Elsevier, vol. 98(C).
    • Handle: RePEc:eee:finlet:v:98:y:2026:i:c:s1544612326002679
    DOI: 10.1016/j.frl.2026.109737
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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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