Dynamics of Volatility Spillover between Energy and Environmental, Social and Sustainable Indices

Manivannan Babu, A. Antony Lourdesraj, C. Hariharan, Gayathri Jayapal, G. Indhumathi, J. Sathya and Chinnadurai Kathiravan ()
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Manivannan Babu: Bharathidasan School of Management, Bharathidasan University, Tiruchirappalli, Tamil Nadu, India,
A. Antony Lourdesraj: Bharathidasan School of Management, Bharathidasan University, Tiruchirappalli, Tamil Nadu, India,
C. Hariharan: Nehru Institute of Technology, Coimbatore, Tamil Nadu, India,
Gayathri Jayapal: Department of Commerce and Financial Studies, Bharathidasan University, Tiruchirappalli, Tamil Nadu, India,
G. Indhumathi: Mother Teresa Women s University, Kodaikanal, Tamil Nadu, India,
J. Sathya: Sri Sarada College for Women, Tamil Nadu, India,

International Journal of Energy Economics and Policy, 2022, vol. 12, issue 6, 50-55

Abstract: The purpose of this research was to examine the dynamics of volatility spillover between energy and environmental, social, and sustainable indices. COVID-19 prompted the research to select April 2019 to March 2022 as a sample period, and the respective data (daily prices) of the Nifty Energy and Nifty ESG indices were obtained from the National Stock Exchange of India Limited. The outcomes of the study confirmed that the daily returns of Nifty Energy and Nifty 100 ESG indices were not normally distributed and reached stationarity at level difference. Further, the study employed GARCH Models such as ARCH, GARCH (1,1), and GARCH-M to determine conditional volatility, and it validated the ARCH influence on the daily returns of the Nifty Energy and Nifty 100 ESG, during the study period.

Keywords: Energy Index; Environmental sustainability; Composite index; Energy crisis (search for similar items in EconPapers)
JEL-codes: C32 O13 O47 (search for similar items in EconPapers)
Date: 2022
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