<abstract xmlns="http://www.w3.org/1999/xhtml">
<p>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.</p>
</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.

ESG Spillover and Volatility

Studia Universitatis Babes-Bolyai Oeconomica

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

{"article-title":"ESG Spillover and Volatility"}

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...

ESG Spillover and Volatility

Published Online: Mar 23, 2024

Page range: 1 - 12

DOI: https://doi.org/10.2478/subboec-2023-0011

Keywords
ESG, ESG spillover, industry, volatility

© 2023 Diana-Mihaela Sandu, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

ESG Spillover and Volatility

Published Online: Mar 23, 2024

Page range: 1 - 12

DOI: https://doi.org/10.2478/subboec-2023-0011

KeywordsESG, ESG spillover, industry, volatility

© 2023 Diana-Mihaela Sandu, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Keywords
ESG, ESG spillover, industry, volatility