Does ESG affect stock market dependence? An empirical exploration of S&P 1200 companies shows the divergent nature of E-S-G pillars

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F24%3A00135064" target="_blank" >RIV/00216224:14560/24:00135064 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0275531924000229" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0275531924000229</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ribaf.2024.102230" target="_blank" >10.1016/j.ribaf.2024.102230</a>

Result language
angličtina
Original language name
Does ESG affect stock market dependence? An empirical exploration of S&P 1200 companies shows the divergent nature of E-S-G pillars
Original language description
The micro-level analysis uses the cross-quantilogram to measure quantile dependence between stocks in the S&P 1200 and the market with distinguishing factors of ESG scores. We employed the scores of seven major ESG data providers and their structural combination to capture the shared information. We found a systematic effect both on the level of multidimensional and unidimensional ESG scores. Moreover, we showed Governance scores create a counter-effect on the Environmental and Social pillars. In general, the high- and middle-ESG stocks tend to have lower dependence on the market during market downturns, with E and S scores pushing the dependence down and the G dimension pushing it up.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance

Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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