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Testing the unit root of social, environmental, and governance stock price indexes using a multivariate ARDL model

Author

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  • Yi-Ting Peng
  • Tsangyao Chang

Abstract

The establishment of a green stock market (GSM) has significant implications for the advancement of sustainable development. However, it is susceptible to fluctuations caused by fluctuations in fossil fuel prices, economic policy and geopolitical uncertainties, and monetary policy. This study evaluates the persistence of shocks to five social, environmental, and governance (ESG) stock price indexes using the novel multivariate ARDL unit root test. The Federal Fund Effective Rate (FFER) and West Texas Intermediate Crude Oil Price (WTIOIL) were separately included as covariates in the ARDL model and tested for the null hypothesis of a unit root using a multivariate ARDL unit root test. The results of this study indicate that the ESG stock price indexes exhibit unit root behaviour, suggesting that policy shifts and shocks have a lasting impact on the dynamics of the green stock market and sustainable development.

Suggested Citation

  • Yi-Ting Peng & Tsangyao Chang, 2026. "Testing the unit root of social, environmental, and governance stock price indexes using a multivariate ARDL model," Applied Economics Letters, Taylor & Francis Journals, vol. 33(5), pages 661-667, March.
    • Handle: RePEc:taf:apeclt:v:33:y:2026:i:5:p:661-667
    DOI: 10.1080/13504851.2024.2386155
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