| STANĚK GYÖNYÖR, Lucie a Matúš HORVÁTH. Does ESG affect stock market dependence? An empirical exploration of S&P 1200 companies shows the divergent nature of E-S-G pillars. Research in International Business and Finance. AMSTERDAM: ELSEVIER, 2024, roč. 69, April, s. 1-22. ISSN 0275-5319. Dostupné z: https://dx.doi.org/10.1016/j.ribaf.2024.102230. |
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@article{2239840,
author = {Staněk Gyönyör, Lucie and Horváth, Matúš},
article_location = {AMSTERDAM},
article_number = {April},
doi = {http://dx.doi.org/10.1016/j.ribaf.2024.102230},
keywords = {ESG; Cross-quantilogram; Sustainability; SRI; Quantile dependence},
language = {eng},
issn = {0275-5319},
journal = {Research in International Business and Finance},
title = {Does ESG affect stock market dependence? An empirical exploration of S&P 1200 companies shows the divergent nature of E-S-G pillars},
url = {https://www.sciencedirect.com/science/article/pii/S0275531924000229},
volume = {69},
year = {2024}
}
TY - JOUR
ID - 2239840
AU - Staněk Gyönyör, Lucie - Horváth, Matúš
PY - 2024
TI - Does ESG affect stock market dependence? An empirical exploration of S&P 1200 companies shows the divergent nature of E-S-G pillars
JF - Research in International Business and Finance
VL - 69
IS - April
SP - 1-22
EP - 1-22
PB - ELSEVIER
SN - 02755319
KW - ESG
KW - Cross-quantilogram
KW - Sustainability
KW - SRI
KW - Quantile dependence
UR - https://www.sciencedirect.com/science/article/pii/S0275531924000229
N2 - The micro-level analysis uses the cross-quantilogram to measure quantile dependence between stocks in the S&P 1200 and the market with distinguishing factors of ESG scores. We employed the scores of seven major ESG data providers and their structural combination to capture the shared information. We found a systematic effect both on the level of multidimensional and unidimensional ESG scores. Moreover, we showed Governance scores create a counter-effect on the Environmental and Social pillars. In general, the high- and middle-ESG stocks tend to have lower dependence on the market during market downturns, with E and S scores pushing the dependence down and the G dimension pushing it up.
ER -
STANĚK GYÖNYÖR, Lucie a Matúš HORVÁTH. Does ESG affect stock market dependence? An empirical exploration of S\&{}P 1200 companies shows the divergent nature of E-S-G pillars. \textit{Research in International Business and Finance}. AMSTERDAM: ELSEVIER, 2024, roč.~69, April, s.~1-22. ISSN~0275-5319. Dostupné z: https://dx.doi.org/10.1016/j.ribaf.2024.102230.
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