Geopolitical Risk, Market Indices, and ESG Performance During Crises
研究了G7国家传统市场与ESG市场在危机时期的溢出效应，发现日本市场风险吸收最大，且新冠疫情加剧了市场关联性，对投资者分散风险有参考价值。
ABSTRACT The interconnection of stock markets has been extensively examined; however, the spillover effects between conventional markets and ESG (environmental, social, and governance) markets during periods of crisis remain underexplored. This study employs the time‐varying parameter VAR approach to investigate the connectedness between the conventional markets of G7 countries and their ESG counterparts, along with the geopolitical risk (GPR) index and gold index. The results indicate that the Japanese market emerges as the largest risk recipient overall, including during times of crisis. Additionally, the study reveals that market interconnectedness intensifies significantly during the COVID‐19 pandemic compared to normal periods and the Russia–Ukraine war. These insights are valuable for investors and managers seeking to diversify their portfolios in times of crisis.