IDEAS home Printed from https://ideas.repec.org/r/eee/reveco/v89y2024ipbp397-428.html
   My bibliography  Save this item

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

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. 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).
  2. 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).
  3. 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).
  4. 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).
  5. Han, Wei & Wu, Di, 2024. "ESG ratings, business credit acquisition, and corporate value," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  6. 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).
  7. 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).
  8. 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).
  9. 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).
  10. Du, Jiayu & Zhu, Rui & Ye, Qiang, 2025. "Managers' overconfidence, institutional investors' shareholding, and corporate ESG performance," Finance Research Letters, Elsevier, vol. 72(C).
  11. 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).
  12. 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).
  13. Zhang, Yaojie & He, Mengxi & Wang, Yudong & Wen, Danyan, 2025. "Model specification for volatility forecasting benchmark," International Review of Financial Analysis, Elsevier, vol. 97(C).
  14. Sun, Yongbo & Wang, Fengqin, 2025. "Consumption center construction and enterprise ESG performance: Evidence from China," Finance Research Letters, Elsevier, vol. 72(C).
  15. 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.
  16. 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).
  17. 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).
  18. Tian, Tian & Chen, Ning, 2024. "How does entrepreneurship promote corporate ESG performance?," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  19. Mei, Xueting & Wang, Xinyu, 2024. "Forecasting stock volatility using time-distance weighting fundamental’s shocks," Finance Research Letters, Elsevier, vol. 65(C).
  20. 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).
  21. 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).
  22. 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.
  23. 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.
  24. 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).
  25. 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).
  26. 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).
  27. 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).
  28. 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).
  29. 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).
  30. Wang, Hong & Wang, Wei, 2024. "Chairperson gender, policy compliance and ESG performance of family firms," International Review of Economics & Finance, Elsevier, vol. 96(PC).
  31. 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.
  32. 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).
  33. 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).
  34. 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).
  35. Zhang, Aoran & Zhou, Chunyang, 2024. "A closed-form solution for spot volatility from options under limited data," Finance Research Letters, Elsevier, vol. 67(PA).
  36. 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).
  37. 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).
  38. Zhang, Dongyang, 2024. "The pathway to curb greenwashing in sustainable growth: The role of artificial intelligence," Energy Economics, Elsevier, vol. 133(C).
  39. Li, Menghan & Chen, Qi, 2024. "Executive pay gap and corporate ESG greenwashing: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  40. Zhang, Kai & Wan, Shan & Zhou, Yuehui, 2024. "Executive compensation, internal governance and ESG performance," Finance Research Letters, Elsevier, vol. 66(C).
  41. Braun, Matias & Marcet, Francisco & Raddatz, Claudio, 2025. "How do ESG firms invest?," International Review of Financial Analysis, Elsevier, vol. 97(C).
  42. 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).
  43. 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).
  44. 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).
  45. 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).
  46. 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).
  47. 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).
  48. 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).
  49. 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).
  50. Chao, Wu & Yifei, Xing & Shuai, Yang, 2025. "Aggravating effect: ESG performance and reputational penalty," Finance Research Letters, Elsevier, vol. 72(C).
  51. 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).
  52. 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).
  53. Zhang, Yue, 2025. "Debt distribution and ESG performance: Evidence from Chinese listed companies," Research in International Business and Finance, Elsevier, vol. 73(PA).
  54. 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).
  55. 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).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.