2023年10月，贸经系青年教师吴优博士的论文Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis在International Review of Economics & Finance 发表。International Review of Economics & Finance为ABS 2期刊，best365英国体育在线认定的经济与商科ESI A3期刊。

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内容摘要

To comprehensively investigate information transmission and risk contagion among global environmental, social, and governance (ESG) stock markets, this paper employs the TVP-VAR time and frequency connectedness approaches to analyze return and volatility connectedness across global ESG stock indexes. The dataset comprises the eleven ESG stock indexes, including both developed and developing markets, spanning from October 1, 2007 to December 31, 2021. We find a strong connectedness between these ESG stock indexes in terms of return and volatility, with the ESG stock indexes in Europe and North America exhibiting mainly outward spillovers and those in Asia Pacific and India displaying mainly inward spillovers. Moreover, return connectedness is concentrated at high frequency, while volatility connectedness is concentrated at low frequency. Both return and volatility connectedness are affected by extreme events, especially the COVID-19 pandemic. However, volatility connectedness changes more dramatically than return connectedness during the pandemic. In addition, high ESG attention leads to low return connectedness but high volatility connectedness. During the pandemic, ESG attention positively affects both return and volatility connectedness across ESG stock indexes. Lastly, portfolios with the minimum time-frequency domain return connectedness exhibit higher hedging effectiveness, while portfolios with the minimum time-frequency domain volatility connectedness generate higher cumulative returns. Overall, this paper enriches the empirical framework for ESG stock markets, provides a reference for investors to invest in the market, and helps regulators to formulate forward-looking regulations that promote financial stability.

为全面研究全球环境、社会和治理（ESG）股票市场之间的信息传递和风险传染，本文采用基于TVP-VAR的时频域关联性方法来分析全球ESG股票指数的收益和波动关联。样本包含11个ESG股票指数，覆盖发达国家（地区）的市场以及发展中国家（地区）的市场，时间跨度为2007年10月1日至2021年12月31日。我们发现ESG股票指数间存在较强的收益和波动关联，其中欧洲和北美地区的ESG股指主要表现为向外溢出，而亚太地区和印度的ESG股指则主要表现为向内溢入。此外，收益关联集中在高频，而波动关联集中在低频。收益和波动关联都会受到极端事件的影响，尤其是COVID-19。然而，在COVID-19期间，波动关联的变化强于收益关联的变化。此外，高ESG关注度带来低收益关联和高波动关联。COVID-19期间，ESG关注度对收益和波动关联均产生积极影响。最后，基于时频域收益关联最小的投资组合表现出更高的对冲有效性，而基于时频域波动关联最小的投资组合可以带来更高的累积收益。总体而言，本文丰富了ESG股票市场的实证框架，为投资者投资ESG市场提供参考，并帮助监管机构制定促进金融稳定的前瞻性法规。

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作者简介

吴优，best365英国体育在线贸经系讲师，硕士生导师，期货从业人员资格考试命题组成员。博士毕业于北京航空航天大学，长期致力于金融市场研究。在Energy Economics,International Review of Economics & Finance,Finance Research Letters,《金融研究》《管理科学》等期刊发表20余篇论文。

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原文链接

https://www.sciencedirect.com/science/article/pii/S1059056023004082