ESG SPILLOVER AND VOLATILITY
DOI:
https://doi.org/10.2478/subboec-2023-0011Keywords:
ESG, ESG spillover, industry, volatilityAbstract
This study investigates the spillover effects of ESG scores from companies operating in the same industry and their impact on stock return volatility. For this purpose, I considered a sample of European listed companies from 2019 to 2022. The results provide evidence of a spillover effect of ESG scores on the ESG ratings of other companies belonging to the same industry. Furthermore, I observed direct spillover effects of the individual Environmental, Social and Governance pillars, with similar magnitudes. I also found that stock return volatility is directly related to ESG scores, including spillover effects.
JEL Classification: G30, M14.
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