Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/274842 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 8 [Article No.:] 320 [Year:] 2022 [Pages:] 1-32
Publisher: 
MDPI, Basel
Abstract: 
It is well noted in the literature that volatility responds differently to positive and negative shocks. In this paper, we explore the impact of ESG ratings on such asymmetric behavior of volatility. For this analysis, we use the return data, ESG ratings, and solvency ratios of the constituent stocks of S&P Europe 350 for the period January 2016-December 2021. We apply autoregressive moving average models for the conditional means and GARCH and stochastic volatility models for the conditional variances to estimate the asymmetry coefficients. Afterwards, these coefficients are regressed via Arellano-Bond and lagged first difference methods to estimate the impact of ESG ratings. Our findings confirm that stocks of riskier firms are more likely to suffer from asymmetry behavior of volatility. We also confirm that firm leverage is linked to this asymmetry behavior. We found evidence that the impact of ESG ratings was negative before COVID-19, but positive afterwards. For some sectors, higher ESG ratings are linked to higher asymmetry. Finally, we found that during COVID-19, the asymmetry behavior became more pronounced.
Subjects: 
ARMA
asymmetric effects
COVID-19
CSR
ESG
estimated dependent variable
GARCH
leverage effects
stochastic volatility
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.