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Dynamics of Volatility Spillover between Energy and Environmental, Social and Sustainable Indices

Author

Listed:
  • Manivannan Babu

    (Bharathidasan School of Management, Bharathidasan University, Tiruchirappalli, Tamil Nadu, India,)

  • A. Antony Lourdesraj

    (Bharathidasan School of Management, Bharathidasan University, Tiruchirappalli, Tamil Nadu, India,)

  • C. Hariharan

    (Nehru Institute of Technology, Coimbatore, Tamil Nadu, India,)

  • Gayathri Jayapal

    (Department of Commerce and Financial Studies, Bharathidasan University, Tiruchirappalli, Tamil Nadu, India,)

  • G. Indhumathi

    (Mother Teresa Women s University, Kodaikanal, Tamil Nadu, India,)

  • J. Sathya

    (Sri Sarada College for Women, Tamil Nadu, India,)

  • Chinnadurai Kathiravan

    (VIT Business School, Vellore Institute of Technology, Vellore, Tamil Nadu, India.)

Abstract

The purpose of this research was to examine the dynamics of volatility spillover between energy and environmental, social, and sustainable indices. COVID-19 prompted the research to select April 2019 to March 2022 as a sample period, and the respective data (daily prices) of the Nifty Energy and Nifty ESG indices were obtained from the National Stock Exchange of India Limited. The outcomes of the study confirmed that the daily returns of Nifty Energy and Nifty 100 ESG indices were not normally distributed and reached stationarity at level difference. Further, the study employed GARCH Models such as ARCH, GARCH (1,1), and GARCH-M to determine conditional volatility, and it validated the ARCH influence on the daily returns of the Nifty Energy and Nifty 100 ESG, during the study period.

Suggested Citation

  • Manivannan Babu & A. Antony Lourdesraj & C. Hariharan & Gayathri Jayapal & G. Indhumathi & J. Sathya & Chinnadurai Kathiravan, 2022. "Dynamics of Volatility Spillover between Energy and Environmental, Social and Sustainable Indices," International Journal of Energy Economics and Policy, Econjournals, vol. 12(6), pages 50-55, November.
    • Handle: RePEc:eco:journ2:2022-06-7
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    Citations

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    Cited by:

    1. Manivannan Babu & C. Hariharan & S. Srinivasan & P. S. Shabi Shimny & Gayathri Jayapal & G. Indhumathi & J. Sathya & Brintha Rajendran & Veeramani Anandhabalaji & Chinnadurai Kathiravan, 2023. "Return and Volatility Spillovers of Asian Pacific Stock Markets Energy Indices," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 61-66, January.
    2. V. Anandhabalaji & Manivannan Babu & J. Gayathri & J. Sathya & G. Indhumathi & R. Brintha & Justin Nelson Michael, 2023. "Examining the Volatility of Conventional Cryptocurrencies and Sustainable Cryptocurrency during Covid-19: Based on Energy Consumption," International Journal of Energy Economics and Policy, Econjournals, vol. 13(6), pages 344-352, November.
    3. Ekaterina V. Popova & Nikolay I. Strikh, 2023. "Investigation of ESG spillovers for external stakeholders in Russian regions," Upravlenets, Ural State University of Economics, vol. 14(2), pages 20-34, May.

    More about this item

    Keywords

    Energy Index; Environmental sustainability; Composite index; Energy crisis;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence

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