“Made in USA” financial contagion on ESG indexes: analysis of higher order moments during the pandemic

Jerusa Alberton-Nogueira, Antonio Carlos Figueiredo Pinto, Carlos Bastian-Pinto, Marcelo Cabus Klotzle and Marcelo Guedes Pecly

Economics Letters, 2025, vol. 255, issue C

Abstract: This paper investigates the presence of financial contagion on ESG indexes during the COVID19 pandemic crisis. Using higher-order moment tests, we examine contagion from the US ESG index to some other markets in all five world regions. Not only do we corroborate the thesis that extreme dependence tests capture more efficiently the presence of contagion, but we also investigate the shifts in the coskewness and cokurtosis from the pre-crisis to the crisis period and observe that some markets seemed to have become a lot riskier than others, with findings that can be helpful to portfolio construction, hedging and management.

Keywords: Correlation; Coskewness; Cokurtosis; Covolatility; Financial contagion; Hedging; COVID-19 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:255:y:2025:i:c:s0165176525003738

DOI: 10.1016/j.econlet.2025.112536

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