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Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis

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Cited by:

  1. Li, Kelong & Xie, Chi & Ouyang, Yingbo & Mo, Tingcheng & Feng, Yusen, 2024. "Tail risk spillovers in the stock and forex markets at the major emergencies: Evidence from the G20 countries," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  2. Byun, Seong K. & Han, Sulei & Oh, Jong-Min & Xu, Jing, 2025. "ESG complementarity in emerging market: Evidence from China," Finance Research Letters, Elsevier, vol. 73(C).
  3. Ji, Heli & Yu, Zhihai & Tian, Grace (Li) & Wang, David (Han) & Wen, Yue, 2025. "Market competition, environmental, social and corporate governance investment, and enterprise green innovation performance," Finance Research Letters, Elsevier, vol. 77(C).
  4. Ren, Yangqiu & Hu, Guoliu & Wan, Qing, 2025. "Can fair competition enhance corporate ESG performance? Evidence from a quasi-natural experiment of China's fair competition review system," Finance Research Letters, Elsevier, vol. 74(C).
  5. Ruan, Lei & Li, Jianing & Huang, Siqi, 2024. "News or noise? ESG disclosure and stock price synchronicity," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  6. Wu, WenTing & Chen, XiaoQian & Zvarych, Roman & Huang, WeiLun, 2024. "The Stackelberg duel between Central Bank Digital Currencies and private payment titans in China," Technological Forecasting and Social Change, Elsevier, vol. 200(C).
  7. Pan, Zhijie & Zheng, Yanting & Xu, Dandan & Wang, Ting, 2024. "How green screening influences risk transmission among stock-bond indices: Insight into the dependence structure," Finance Research Letters, Elsevier, vol. 69(PA).
  8. Huang, Jun & Han, Feifei & Li, Yun, 2025. "The impact of institutional investors’ ESG concerns on corporate ESG disclosure: Evidence from site visits," Finance Research Letters, Elsevier, vol. 76(C).
  9. Wang, Hong & Wang, Wei, 2024. "Chairperson gender, policy compliance and ESG performance of family firms," International Review of Economics & Finance, Elsevier, vol. 96(PC).
  10. Feng, Yiqiang & Jin, Xingye & Liu, Zhe & Zhang, Zhanyu, 2025. "Technological links among firms and the peer effect of ESG responsibility performance," Finance Research Letters, Elsevier, vol. 72(C).
  11. Xu, Siyun & Bai, Xiaodong & Chen, Xia, 2025. "Corporate environmental, social, and governance performance, investor attention, and corporate development capability—An empirical examination based on moderating and threshold effects," International Review of Financial Analysis, Elsevier, vol. 102(C).
  12. Zhang, Yanyi & De Smedt, Johannes, 2024. "Index tracking using shapley additive explanations and one-dimensional pointwise convolutional autoencoders," International Review of Financial Analysis, Elsevier, vol. 95(PC).
  13. Zynobia Barson & Kwame Simpe Ofori & Peterson Owusu Junior & Kwabena G. Boakye & George Oppong Appiagyei Ampong, 2024. "Time-varying Connectedness Between ESG Stocks and BRVM Traditional Stocks," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 23(3), pages 306-335, September.
  14. Huang, Qinghua & Yuan, Wei & Zheng, Chengsi & Chen, Kaiming & Chen, Xiding & Wang, Yi & Li, Changke, 2024. "Can Confucianism improve ESG performance?," Finance Research Letters, Elsevier, vol. 64(C).
  15. Xu, Danyang & Corbet, Shaen & Lang, Chunlin & Hu, Yang, 2024. "Understanding dynamic return connectedness and portfolio strategies among international sustainable exchange-traded funds," Economic Modelling, Elsevier, vol. 141(C).
  16. Han, Wei & Wu, Di, 2024. "ESG ratings, business credit acquisition, and corporate value," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  17. Tian, Ye & Zhao, Mengyang, 2025. "Does managerial climate risk perception improve environmental, social and governance (ESG) performance? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 102(C).
  18. Shi, Dinghao & Li, Zhiqiang & Huang, Yan & Tan, Haoyu & Ling, Yixin & Liu, Yunuo & Tu, Yongqian, 2024. "Market competition and ESG performance-based on the mediating role of board independence," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  19. Bibi, Rashida & Gulzar, Saqib & Shahzad, Syed Jawad Hussain, 2025. "ESG leaders and crypto currency market: Asymmetric TVP-VAR connectedness and investment approaches," Research in International Business and Finance, Elsevier, vol. 76(C).
  20. Zhang, Jiawei & Wang, Ruzhou & Ding, Yi & Liang, Fangzhi, 2025. "Can ESG ratings influence relationship-based transactions: Empirical evidence from Chinese listed companies," International Review of Financial Analysis, Elsevier, vol. 102(C).
  21. Wang, Kai-Hua & Wen, Cui-Ping & Long, Hai & Moldovan, Nicoleta-Claudia, 2024. "Towards sustainable development: Exploring the spillover effects of green technology innovation on energy markets and economic cycles," Technological Forecasting and Social Change, Elsevier, vol. 203(C).
  22. Wan, Jieru & Han, Liyan & Wu, You, 2025. "Time-frequency volatility spillovers between CBDC uncertainty and cryptocurrencies," Finance Research Letters, Elsevier, vol. 74(C).
  23. Peng, Youwei & Bai, Ruoshui & Guan, Yonghao, 2025. "Impact of green taxes and fees on corporate ESG performance," International Review of Financial Analysis, Elsevier, vol. 100(C).
  24. Geng, Yuan & Chen, Jinyu & Liu, Ran, 2024. "ESG rating disagreement and corporate green innovation bubbles: Evidence from Chinese A-share listed firms," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  25. Lee, Geesun, 2024. "The impact of North Korean nuclear threat on stock market linkages in Northeast Asia: The case of South Korea, China, and Japan," Finance Research Letters, Elsevier, vol. 66(C).
  26. Liu, Xiangqiang & Liu, Jiayi & Liu, Jia & Zhai, Qiong, 2024. "Can investor-firm interactions mitigate ESG rating divergence? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  27. Li, Chenxing & Zhang, Zehua & Zhao, Ran, 2024. "Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?," Finance Research Letters, Elsevier, vol. 67(PB).
  28. Guo, Kun & Li, Yichong & Zhang, Yunhan & Chen, Yingtong & Ma, Yanran, 2024. "Cross-country risk spillovers of ESG stock indices: Dynamic patterns and the role of climate transition risks," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  29. Sun, Ze & Cai, Cen & Tan, Haoyu & Ji, Heli & Tian, Grace (Li), 2025. "Corporate ESG performance and competitive strategies from the perspective of financial markets: Strategic significance of firm size," Finance Research Letters, Elsevier, vol. 77(C).
  30. Zhang, Aoran & Zhou, Chunyang, 2024. "A closed-form solution for spot volatility from options under limited data," Finance Research Letters, Elsevier, vol. 67(PA).
  31. Wei, Ming & Xu, Xingui, 2025. "The impact of local debt management on corporate ESG Performance: A quasi-natural experiment based on the new budget law," Finance Research Letters, Elsevier, vol. 74(C).
  32. Jin, Zhendong & Cairang, Angxiu, 2025. "Impact of climate risk on airline stock price volatility," Finance Research Letters, Elsevier, vol. 73(C).
  33. Lin, Jiayu & Pan, Dongliang & Sha, Yezhou, 2025. "The impact of ESG investment on fund performance: Evidence from mutual fund style drift," Pacific-Basin Finance Journal, Elsevier, vol. 91(C).
  34. Liu, Xiangqiang & Peng, Yuling & Li, Qinyang & Wu, Chu-Hua, 2025. "CEO pay structure and ESG rating disagreement," International Review of Financial Analysis, Elsevier, vol. 102(C).
  35. Yin, Huairuo & Tang, Yu & Jin, Hao, 2025. "Sustainability in the supply chain, environmental, social and corporate governance performance, and corporate value," Finance Research Letters, Elsevier, vol. 77(C).
  36. Du, Jiayu & Zhu, Rui & Ye, Qiang, 2025. "Managers' overconfidence, institutional investors' shareholding, and corporate ESG performance," Finance Research Letters, Elsevier, vol. 72(C).
  37. Chai, Hongrui & Cheng, Zhenhao & Wu, Weixing, 2025. "Is ESG performance a protective umbrella for ESG violations?," International Review of Financial Analysis, Elsevier, vol. 98(C).
  38. Yang, Jinjuan & Qian, Kaihao & Sun, Yiyao, 2025. "Do investors pay attention to the long-term sustainable company development?," International Review of Financial Analysis, Elsevier, vol. 102(C).
  39. Cai, Cen & Yang, Qianyi & Tu, Da & Tian, Grace Li & Tu, Yongqian, 2025. "Catalytic effect of the Shanghai–Hong Kong Stock Connect policy on corporate ESG performance," International Review of Financial Analysis, Elsevier, vol. 101(C).
  40. Qureshi, Fiza & Qureshi, Saba & Ismail, Izlin & Yarovaya, Larisa, 2025. "Unlocking economic insights: ESG integration, market dynamics and sustainable transitions," Energy Economics, Elsevier, vol. 145(C).
  41. Weng, Min, 2025. "Green innovation through artificial intelligence technology: Enhancing environmental, social, and governance performance," Finance Research Letters, Elsevier, vol. 75(C).
  42. Agapova, Anna & King, Tatiana & Ranta, Mikko, 2025. "Navigating transparency: The interplay of ESG disclosure and voluntary earnings guidance," International Review of Financial Analysis, Elsevier, vol. 97(C).
  43. Mbarek, Marouene & Msolli, Badreddine, 2025. "Tokens and cryptocurrencies: Evidence from asymmetric frequency connectedness approach," Research in International Business and Finance, Elsevier, vol. 77(PA).
  44. Zhang, Dongyang, 2024. "The pathway to curb greenwashing in sustainable growth: The role of artificial intelligence," Energy Economics, Elsevier, vol. 133(C).
  45. Fan, Kwok Yuen & Shen, Jianfu & Hui, Eddie C.M. & Cheng, Louis T.W., 2024. "ESG components and equity returns: Evidence from real estate investment trusts," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  46. Sun, Tingxuan & Liu, Suqin & Guo, Min, 2025. "Effects of green finance and digital transformation on enhancing corporate ESG performance," Finance Research Letters, Elsevier, vol. 74(C).
  47. Ali, Shoaib & Al-Nassar, Nassar S. & Sindhu, Muzammal Ilyas & Naveed, Muhammad, 2025. "Sustainable synergy: Static and dynamic nexus between ESG and BRICS equity markets," Research in International Business and Finance, Elsevier, vol. 74(C).
  48. Hu, Shi & Chen, Peilin & Zhang, Chunli, 2025. "How does green finance reform affect corporate ESG greenwashing behavior?," International Review of Financial Analysis, Elsevier, vol. 102(C).
  49. Li, Menghan & Chen, Qi, 2024. "Executive pay gap and corporate ESG greenwashing: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  50. Shao, Hualu & Zhou, Baicheng & Gong, Shaoqing, 2025. "Prediction of the implied volatility surface–An empirical analysis of the SSE 50ETF option based on CNNs," Finance Research Letters, Elsevier, vol. 77(C).
  51. Tang, Xinhui & Du, Shujun & Deng, Wenwen, 2025. "Business innovation in digital startups: A case study of an AI startup," International Review of Economics & Finance, Elsevier, vol. 98(C).
  52. Zhang, Kai & Wan, Shan & Zhou, Yuehui, 2024. "Executive compensation, internal governance and ESG performance," Finance Research Letters, Elsevier, vol. 66(C).
  53. Zhang, Yaojie & He, Mengxi & Wang, Yudong & Wen, Danyan, 2025. "Model specification for volatility forecasting benchmark," International Review of Financial Analysis, Elsevier, vol. 97(C).
  54. Braun, Matias & Marcet, Francisco & Raddatz, Claudio, 2025. "How do ESG firms invest?," International Review of Financial Analysis, Elsevier, vol. 97(C).
  55. Gao, Yang & Ma, Wanli & Chen, Cheng, 2025. "Intermediate inputs, import trade and corporate ESG performance," Finance Research Letters, Elsevier, vol. 74(C).
  56. Iskenderoglu, Cansu, 2025. "The value of diversification: ESG and investment in controversial industries," Finance Research Letters, Elsevier, vol. 76(C).
  57. Naysary, Babak & Shrestha, Keshab, 2024. "Financial technology and ESG market: A wavelet-DCC GARCH approach," Research in International Business and Finance, Elsevier, vol. 71(C).
  58. Yang, Qiming & Xiang, Ruilin, 2025. "Structure of interest-bearing liabilities and corporate ESG performance," International Review of Financial Analysis, Elsevier, vol. 102(C).
  59. You, Wei & Liu, Bojing, 2025. "ESG performance, bank fintech and risk-taking," Finance Research Letters, Elsevier, vol. 74(C).
  60. Sun, Yongbo & Wang, Fengqin, 2025. "Consumption center construction and enterprise ESG performance: Evidence from China," Finance Research Letters, Elsevier, vol. 72(C).
  61. Thanasis Stengos & Theodore Panagiotidis & Georgios Papapanagiotou, 2025. "On the time-varying causal relationships that drive bitcoin returns," Working Papers 2501, University of Guelph, Department of Economics and Finance.
  62. Buchetti, Bruno & Arduino, Francesca Romana & Perdichizzi, Salvatore, 2025. "A literature review on corporate governance and ESG research: Emerging trends and future directions," International Review of Financial Analysis, Elsevier, vol. 97(C).
  63. Chen, Tianyu & Yin, Ding & Li, Xinghua & Xu, Xuegao, 2025. "Media attention, information asymmetry and agribusiness ESG rating divergence," Finance Research Letters, Elsevier, vol. 74(C).
  64. Chen, Chaofan & Li, Wen-Bo & Zhang, Heng, 2024. "How do property rights affect corporate ESG performance? The moderating effect of green innovation efficiency," Finance Research Letters, Elsevier, vol. 64(C).
  65. Zhou, Mengling & Huang, Zizhen & Jiang, Kangqi, 2024. "Environmental, social, and governance performance and corporate debt maturity in China," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  66. Qian, Binsheng & Poshakwale, Sunil & Tan, Yusen, 2024. "‘E’ of ESG and firm performance: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  67. Chen, Che & Chen, Song & Wu, Dingwen, 2025. "The impact of ESG performance on R&D investment stability: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 99(C).
  68. Xu, Danyang & Hu, Yang & Oxley, Les & Lin, Boqiang & He, Yongda, 2025. "Exploring the connectedness between major volatility indexes and worldwide sustainable investments," International Review of Financial Analysis, Elsevier, vol. 97(C).
  69. Han, SeungOh, 2025. "Evaluating the hedging potential of energy, metals, and agricultural commodities for U.S. stocks post-COVID-19," The North American Journal of Economics and Finance, Elsevier, vol. 77(C).
  70. Esparcia, Carlos & Gubareva, Mariya & Sokolova, Tatiana & Jareño, Francisco, 2025. "Cross-border ESG rating dynamics: An in-depth connectedness analysis of portfolio returns and volatilities in the USA and Canada," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
  71. Wu, Zhenshu & Pownall, Rachel & Shih, Yi-Cheng & Zhang, Chendi, 2025. "State ownership and the value of sustainability: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 102(C).
  72. Shi, Dinghao & Tan, Haoyu & Ling, Yixin & Liu, Yunuo & Liu, Bo & Tu, Yongqian, 2025. "Impact of environmental information uncertainty and market competition on corporate ESG performance," International Review of Financial Analysis, Elsevier, vol. 99(C).
  73. Du, Puliang & Gu, Runsheng & Luo, Ling & Xie, Fei & Zhang, Chenyang, 2025. "The enhanced gain effects of ESG's non-linearity on portfolios: An asset pricing tree model perspective," International Review of Financial Analysis, Elsevier, vol. 99(C).
  74. Li, Junjun & Wu, Tong & Hu, Boqiang & Pan, Dongliang & Zhou, Yaqiong, 2025. "Artificial intelligence and corporate ESG performance," International Review of Financial Analysis, Elsevier, vol. 102(C).
  75. Ding, Liuqi & Cui, Zixuan & Li, Jiali, 2024. "Risk management and corporate ESG performance: The mediating effect of financial performance," Finance Research Letters, Elsevier, vol. 69(PB).
  76. Lin, Huiting & Wen, Jiayu & Li, Wei & He, Yurun, 2025. "Strategic alliances and corporate ESG performance," International Review of Economics & Finance, Elsevier, vol. 98(C).
  77. Tian, Tian & Chen, Ning, 2024. "How does entrepreneurship promote corporate ESG performance?," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  78. Wang, Junwei & Xing, Yafei & Xiao, Daibo, 2025. "An empirical study on the relationship between executives' financial background and corporate ESG performance," International Review of Financial Analysis, Elsevier, vol. 102(C).
  79. Mei, Xueting & Wang, Xinyu, 2024. "Forecasting stock volatility using time-distance weighting fundamental’s shocks," Finance Research Letters, Elsevier, vol. 65(C).
  80. Wen, Conghua & Zhai, Jia & Wang, Yinuo & Cao, Yi, 2024. "Implied volatility is (almost) past-dependent: Linear vs non-linear models," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  81. Šević, Aleksandar & Nerantzidis, Michail & Tampakoudis, Ioannis & Tzeremes, Panayiotis, 2024. "Sustainability indices nexus: Green economy, ESG, environment and clean energy," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  82. Gao, Chengyin & Zhang, Shujun, 2025. "ESG performance and corporate financialization: A dual perspective of risk management and value creation," Finance Research Letters, Elsevier, vol. 71(C).
  83. Loang Ooi Kok, 2025. "From Tweets to Trades: The Dynamic Dance of Investor Sentiment, Attention, and News Sentiment in ESG Stocks," China Finance and Economic Review, De Gruyter, vol. 14(1), pages 70-91.
  84. Ruan, Lei & Li, Jianing & Huang, Siqi, 2025. "ESG rating adjustment and capital market pricing efficiency: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 98(C).
  85. Chao, Wu & Yifei, Xing & Shuai, Yang, 2025. "Aggravating effect: ESG performance and reputational penalty," Finance Research Letters, Elsevier, vol. 72(C).
  86. Deng, Jing & Liu, Yejiao & Zhuang, Zhitao & Gu, Xuesong & Xing, Xiaoyun, 2024. "Do China and USA differ in the interrelationship between green bond and ESG markets?," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 919-934.
  87. Eskantar, Marianna & Zopounidis, Constantin & Doumpos, Michalis & Galariotis, Emilios & Guesmi, Khaled, 2024. "Navigating ESG complexity: An in-depth analysis of sustainability criteria, frameworks, and impact assessment," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  88. Song, Yunling & Xu, Chengying & Wei, Li, 2024. "External guarantees and ESG performance in China: Resource constraints or impression management?," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  89. Yan, Xintong & Xiao, Daibo & Chan, Hokai & Zeng, Guoxiong & Wei, Renxing, 2025. "Impact of high-speed rail operation, ESG performance, and financial performance of listed tourism companies," Finance Research Letters, Elsevier, vol. 77(C).
  90. Tang, Meihuan, 2025. "Data element utilization and firm value," International Review of Financial Analysis, Elsevier, vol. 102(C).
  91. Wang, Yi & Ali, Shoaib & Ayaz, Muhammad, 2024. "Equity markets and ESG dynamics: Assessing spillovers and portfolio strategies through time-varying parameters," Energy Economics, Elsevier, vol. 134(C).
  92. Qiao, Penghua & Xie, Yusha & Fung, Anna & Feng, Keyou & Fung, Hung-Gay, 2025. "Optimizing smart supply chain for enhanced corporate ESG performance," International Review of Financial Analysis, Elsevier, vol. 97(C).
  93. Du, Qunyang & Sun, Zhennan & Goodell, John W. & Du, Anna Min & Yang, Tianle, 2024. "Ecological risk and corporate sustainability: Examining ESG performance, risk management, and productivity," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  94. Alharbi, Samar S. & Naveed, Muhammad & Ali, Shoaib & Moussa, Faten, 2025. "Sailing towards sustainability: Connectedness between ESG stocks and green cryptocurrencies," International Review of Economics & Finance, Elsevier, vol. 98(C).
  95. Zhang, Yue, 2025. "Debt distribution and ESG performance: Evidence from Chinese listed companies," Research in International Business and Finance, Elsevier, vol. 73(PA).
  96. Sun, Yanyang & Gao, Jun & Wu, Wenruo & Liu, Suyi, 2025. "ESG performance and corporate fraud: Evidence based on the MOE framework," International Review of Financial Analysis, Elsevier, vol. 97(C).
  97. Li, Ruiqian & Wu, Haiyun & Zhong, Ma & Lan, Hao, 2024. "Strategic tone management in ESG reports and ESG risk," International Review of Financial Analysis, Elsevier, vol. 96(PA).
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