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Connectedness across environmental, social, and governance (ESG) indices: evidence from emerging markets

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  • Assaf, Ata
  • Klotzle, Marcelo Cabus
  • Palazzi, Rafael Baptista
  • Demir, Ender

Abstract

Understanding the spillover effects of environmental, social, and governance (ESG) indexes in emerging economies is crucial to gauge risk of contagion and the potential reduction in ESG investments. Thus, this study examines the interconnectedness of ESG emerging markets indices. To measure the spillover effects, we employ the Diebold and Yilmaz (2009) model and the time-varying parameter structural vector autoregression model (TPV-VAR). In addition, we analyze the potential influence of various risk factors, including economic policy uncertainty (EPU), the fear index (VIX), Brent oil, Daily Infectious Disease Equity Market Volatility Tracker (ID-EMV), and long-term interest rates (10YTB), on ESG connectedness. Our analysis is based on a dataset from November 2014 to February 2022, including the COVID-19 pandemic crisis. Our results reveal significant spillovers among these markets, with the South African market playing a dominant role in transmitting and receiving shocks from other markets. Furthermore, we document the significant impact of various risk factors on the interconnectedness of ESG emerging markets. Our findings have pivotal implications for the risk of contagion in these markets, particularly during periods of crisis, such as the COVID-19 pandemic. Therefore, our research provides valuable insights for investors, regulators, and policymakers seeking to promote sustainable investing and manage systemic risk in emerging markets.

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  • Assaf, Ata & Klotzle, Marcelo Cabus & Palazzi, Rafael Baptista & Demir, Ender, 2025. "Connectedness across environmental, social, and governance (ESG) indices: evidence from emerging markets," Research in International Business and Finance, Elsevier, vol. 73(PA).
    • Handle: RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003891
    DOI: 10.1016/j.ribaf.2024.102596
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