Exploring the connectedness between major volatility indexes and worldwide sustainable investments
研究了2014年1月至2023年4月期间，全球共同波动率指数、VIX等主要波动率指数与全球ESG领导者股票市场之间的动态关联性，发现COVID-19疫情显著影响系统总关联性，COVOL是ESG的接收者而VIX是主要传递者，发达国家ESG在传导中占主导地位。
This paper examines the dynamic connectedness between various measures of volatility indexes (e.g., Engle and Campos-Martins (2023)’s global common volatility index (COVOL), VIX, OVX, GVZ) and worldwide ESG leaders’ equity markets, using an aggregated connectedness approach for the period January 2014 to April 2023. Several novel findings are presented. First, the COVID-19 pandemic has a significant impact on the dynamic total connectedness of the system compared to other major global events. Second, the COVOL is a receiver of aggregated global ESG while VIX is a major transmitter. Third, based on the stage of economic development for each ESG market, the aggregated developed-country ESG group plays a more dominant role in the transmission channel. Fourth, based on aggregated ESG markets by region, the VIX is the primary transmitter to four regional ESGs. Last, European ESG market has low connectedness with the major volatility indexes and other regional ESGs. These findings have important and practical implications for investors and portfolio managers in formulating effective risk management strategies for ESG-related investments. • We explore dynamic connectedness between major volatility indices and international ESG markets. • The COVOL is a receiver while the VIX is a major transmitter. • Developed-country ESG group plays a critical role in dynamic transmission. • The Americas and Europe are the core of risk spillover systems among worldwide ESG markets.