Join the club! Dynamics of global ESG indices convergence

Marco Kerkemeier and Robinson Kruse-Becher

Finance Research Letters, 2022, vol. 49, issue C

Abstract: We investigate the convergence behaviour of 18 ESG stock market indices from a global perspective. We rely on the convergence tests and clustering procedures by Phillips and Sul (2007, 2009) which are based on a time-varying nonlinear panel factor model. In particular, we find a structural break in May 2019. Prior to the break, we identify Brazil and China as co-diverging units and find some heterogeneity in relative convergence clusters for the remaining countries. After the break, we do not find only relative, but also level convergence amongst all considered countries in one single club. The structural break and its timing can be linked to significantly increased global investor attention for ESG.

Keywords: ESG; Equity market convergence; Panel convergence; Variance trend break (search for similar items in EconPapers)
JEL-codes: C23 C32 C33 C58 E13 Q56 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003099

DOI: 10.1016/j.frl.2022.103085

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