Return and risk spillovers between the ESG global index and stock markets: Evidence from time and frequency analysis

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dc.authoridCevik, Emrah Ismail/0000-0002-8155-1597
dc.authoridBugan, Mehmet Fatih/0000-0001-9027-9532
dc.authoridKilic, Yunus/0000-0002-9758-5118
dc.contributor.authorKilic, Yunus
dc.contributor.authorDestek, Mehmet Akif
dc.contributor.authorCevik, Emrah Ismail
dc.contributor.authorBugan, Mehmet Fatih
dc.contributor.authorKorkmaz, Oya
dc.contributor.authorDibooglu, Sel
dc.date.accessioned2025-03-17T12:27:26Z
dc.date.available2025-03-17T12:27:26Z
dc.date.issued2022
dc.departmentTarsus Üniversitesi
dc.description.abstractIn this paper, we examine comovements between stock market returns and investments that take into account Environmental, Social, and Governance (ESG) factors by studying the interconnections between the two returns in time and frequency space. We study interdependencies between the conventional stock market and ESG stocks using daily data from 2007 to 2021 for 19 developing and 19 developed countries. Our results show significant comovement patterns between ESG returns and stock returns at various frequencies, time scales, and sample episodes in all countries, particularly during periods of financial turmoil. For the most part, we document positive (in-phase) comovements between the stock returns and ESG returns in developing countries and negative (out-of-phase) comovements in developed countries. This implies limited portfolio gains from adding ESG stocks to portfolio diversification in developing countries but significant gains in developed countries.Copyright (c) 2022 Borsa Istanbul Anonim S, irketi. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
dc.identifier.doi10.1016/j.bir.2022.11.015
dc.identifier.endpage156
dc.identifier.issn2214-8450
dc.identifier.issn2214-8469
dc.identifier.scopus2-s2.0-85143850737
dc.identifier.scopusqualityQ1
dc.identifier.startpage141
dc.identifier.urihttps://doi.org/10.1016/j.bir.2022.11.015
dc.identifier.urihttps://hdl.handle.net/20.500.13099/2249
dc.identifier.volume22
dc.identifier.wosWOS:000953846600001
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherElsevier
dc.relation.ispartofBorsa Istanbul Review
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_WOS_20250316
dc.subjectWavelet coherence analysis
dc.subjectESG investing
dc.subjectStock markets
dc.subjectPortfolio diversification
dc.titleReturn and risk spillovers between the ESG global index and stock markets: Evidence from time and frequency analysis
dc.typeArticle

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