ESG Spillover and Volatility

In: Studia Universitatis Babeş-Bolyai. Oeconomica, Band 68, Heft 3, S. 1-12

Open Access

Abstract

Abstract
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.