ORIGINAL RESEARCH article
Front. Sustain.
Sec. Quantitative Sustainability Assessment
Volume 6 - 2025 | doi: 10.3389/frsus.2025.1612279
This article is part of the Research TopicAssessing Circular Economy Transitions: Quantitative Approaches and Policy ImplicationsView all 6 articles
Exploring ESG volatility spillovers: evidence from global equity markets
Provisionally accepted
- 1University of Pavia, Pavia, Italy
- 2University of Verona, Verona, Veneto, Italy
- 3KTH Royal Institute of Technology, Stockholm, Stockholm, Sweden
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This paper investigates the volatility spillover between sustainable stocks proxied by six ESG equity indices of different geographical areas using daily returns from 2014 to 2022. We apply the Granger causality test to understand return relationships, the impulse response analysis, and the Diebold-Yilmaz spillover index. Results show that ESG equity indices are interrelated. Companies with a good ESG profile in emerging markets and clean technology are more subject to external shocks and thus more vulnerable. Understanding how risk spillover evolve and distribute across the global market in the ESG environment is key to investors and policymakers willing to foster sustainable growth.
Keywords: sustainable equity, ESG, Risk spillover, volatility, global equity markets
Received: 15 Apr 2025; Accepted: 30 Jun 2025.
Copyright: © 2025 De Giuli, Di Persio, Mottaghi and Tanda. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
* Correspondence:
Maria Elena De Giuli, University of Pavia, Pavia, Italy
Alessandra Tanda, University of Pavia, Pavia, Italy
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