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ESG Spillover and Volatility

Author

Listed:
  • Sandu Diana-Mihaela

    (The Bucharest University of Economic Studies, Romania)

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.

Suggested Citation

  • Sandu Diana-Mihaela, 2023. "ESG Spillover and Volatility," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 68(3), pages 1-12, December.
    • Handle: RePEc:vrs:subboe:v:68:y:2023:i:3:p:1-12:n:1
    DOI: 10.2478/subboec-2023-0011
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    More about this item

    Keywords

    ESG; ESG spillover; industry; volatility;
    All these keywords.

    JEL classification:

    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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