Contagion network of idiosyncratic volatility: Does corporate environmental responsibility matter?

Gaoke Liao, Yanling Li and Mengxin Wang

Energy Economics, 2024, vol. 129, issue C

Abstract: This study seeks to explore the impact of corporate environmental responsibility (CER) on idiosyncratic volatility contagion. We first adopt the general dynamic factor model to extract the idiosyncratic volatility. The long-term variance decomposition network is then constructed to examine the contributions of CER the contagion network of idiosyncratic volatility. The results demonstrate that idiosyncratic volatility contagion between sectors will be significantly strengthened during the stock market instability. CER play important role in the idiosyncratic volatility contagion, it will change the contagion ability and direction of idiosyncratic volatility during the stock market instability.

Keywords: Contagion network; Idiosyncratic volatility; Generalized dynamic factor model; Corporate environmental responsibility (search for similar items in EconPapers)
JEL-codes: C58 G11 G32 Q51 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006667

DOI: 10.1016/j.eneco.2023.107168

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