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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

The micro-level analysis uses the cross-quantilogram to measure quantile dependence between stocks in the S&amp;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.

Název v anglickém jazyce

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

Popis výsledku anglicky

The micro-level analysis uses the cross-quantilogram to measure quantile dependence between stocks in the S&amp;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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2024

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Research in International Business and Finance

ISSN

0275-5319

e-ISSN

1878-3384

Svazek periodika

69

Číslo periodika v rámci svazku

April

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

22

Strana od-do

1-22

Kód UT WoS článku

001162258700001

EID výsledku v databázi Scopus

2-s2.0-85183569812