Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach

This study analyzes the dynamic connectedness between the ESG stock index, the renewable energy stock index, the green bond stock index, the sustainability stock index, and the carbon emission futures by employing a novel method: the DCC-GARCH-based dynamic connectedness approach. Given the strong v...

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Bibliographic Details
Published in:International review of financial analysis 2022-10, Vol.83, p.102223, Article 102223
Main Authors: Zhang, Wenting, He, Xie, Hamori, Shigeyuki
Format: Article
Language:English
Subjects:
Carbon emission futures
Connectedness
DCC-GARCH-based dynamic connectedness approach
ESG index
Risk hedging
Sustainability-related index
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