ESG Spillover and Volatility

Sandu Diana-Mihaela ()
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Sandu Diana-Mihaela: The Bucharest University of Economic Studies, Romania

Studia Universitatis Babeș-Bolyai Oeconomica, 2023, vol. 68, issue 3, 1-12

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.

Keywords: ESG; ESG spillover; industry; volatility (search for similar items in EconPapers)
JEL-codes: G30 M14 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:subboe:v:68:y:2023:i:3:p:1-12:n:1

DOI: 10.2478/subboec-2023-0011

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