近日，以公司教师陈语副教授为第一作者的合作论文《Quantifying the extreme spillovers on worldwide ESG leaders’ equity》在国际知名期刊《International Review of Financial Analysis》2022年第11期上正式刊出。
DOI：https://doi.org/10.1016/j.irfa.2022.102425
文章摘要：
With the increasing consensus about the severity of climate change, environmental, social, and governance (ESG) philosophy has been rising and remarkably integrated into green investors' portfolio decisions. This paper applies the novel quantile-based VAR spillover index methods and examines the spillovers among worldwide ESG leaders' equity markets under different market states. Overall, the significant spillovers among global ESG leaders' equity can be captured. The Northern American and E.U. markets are the main risk transmitters to the global ESG investment market. Based on the quantile connectedness analysis, the spillovers among worldwide ESG leaders' equity are more significant for extreme market states than the normal states. Meanwhile, the downward tail risk spillover is larger than the upper. Thus, this paper obtains an asymmetric “U” shape curve to describe the total spillovers across different quantiles. The dynamic estimation also supports the asymmetric characteristics of the cross-market spillover effects and suggests external events could shape the pattern of dynamic connectedness. The potential determinants of total and net extreme spillovers are also investigated to help increase investors' awareness of ESG risk management decisions. Our findings eventually provide a crucial understanding of global ESG investment and indicate some targeted investment implications.
作者介绍：
陈语，1994年12月生，永利yl23411集团副教授。主要研究方向为发展经济学、能源经济与政策、绿色金融等，在《经济研究》、《Energy Economics》、《International Review of Financial Analysis》等国内外学术期刊发表论文10余篇。负责并参与国家部委、能源国企等横向及纵向项目10余项，结合课题研究成果形成国家级政策专报多份。兼任国家能源集团技术经济研究院项目外聘专家、共“碳”未来—碳金融与碳交易研学课堂全国行授课名师等。
刊物简介：
《International Review of Financial Analysis》为ABS三星期刊，JCR一区，金融类SSCI一区期刊，影响因子8.235，旨在发表经济及金融领域的高质量理论与实证论文。
