ESG and sustainable development: Evidence from DCC-GARCH R2 decomposed connectedness measures

Nabila Boukef Jlassi, Amine Lahiani, Salma Mefteh-Wali and Nada Mselmi

Finance Research Letters, 2025, vol. 79, issue C

Abstract: This research investigates the time-varying connectedness between ESG, global environment, green economy, clean energy and energy innovation. Employing the novel DCC-GARCH R2 decomposed connectedness technique, findings show that dynamic total connectedness varies over time. The green economy and energy innovation are identified as the primary transmitters of volatility shocks, while ESG and clean energy act as net receivers. Notably, the global environment index shifts from being a net transmitter to a net receiver of shocks in 2020. The results have important implications for policymakers, investors and risk managers.

Keywords: ESG; Dynamic connectedness; Clean energy; Innovation (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612325004854
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325004854

DOI: 10.1016/j.frl.2025.107222

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().