Navigating contemporary crisis risk spillover dynamics and growth of the S&P ESG exchange-traded funds

Ibtissem Missaoui

Journal of Business and Socio-economic Development, 2026, vol. 6, issue 5, 525-541

Abstract: PurposeThis study investigates the volatility spillovers between S&P Environmental Social and Governance, Exchange-Traded Funds and growth during contemporary crises (the Russia–Ukraine and the Israel–Palestine conflicts).Design/methodology/approachThis paper uses a connectedness index-based TVP-VAR model for daily data from April 16, 2021, to September 30, 2024.FindingsThe findings reveal that the SPDR S&P 500 ESG ETF (EFIV), Xtrackers S&P 500 ESG ETF (SNPE) and Xtrackers S&P MidCap 400 ESG ETF emerged as notable transmitters, whereas the Northern Global Sustainability Index Fund (NSRIX) was a major recipient of risk spillover during both the contemporary crisis. Furthermore, the Xtrackers S&P 500 Growth ESG ETF (SNPG) exhibits a dynamic response to crises, shifting its behavior accordingly: it acts as a risk spillover transmitter during the Israel–Palestine conflict, while it becomes a risk receiver during the Russia–Ukraine conflict, reflecting its adaptive approach to geopolitical events.Originality/valueOur findings highlight the risks of ESG market contagion during crises and demonstrate how green markets can mitigate climate change while creating new opportunities for investors and businesses.

Keywords: Sustainability; S&P ESG ETF; Geopolitical crisis; Spillover and connectedness approach (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jbsedp:jbsed-10-2025-0464

DOI: 10.1108/JBSED-10-2025-0464

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