A0569
Title: Asymmetric effects on asymmetry: The resilience of ESG indices
Authors: Javier Perote - University of Salamanca (Spain) [presenting]
Ines Jimenez - University of Salamanca (Spain)
Andres Mora Valencia - Universidad de los Andes (Colombia)
Abstract: A recently developed multivariate volatility model is applied based on multivariate Gram-Charlier (GC) expansions to investigate spillover effects between traditional and environmental, social, and governance (ESG) based indices. The model extends the GC distribution by incorporating the crossed products of Hermite polynomials among different moments and assets in a multivariate expansion. The weights of these new terms are argued to convey spillover effects and have been proved to be significant pieces of information for tail dependence measurement. The empirical research analyzes bivariate portfolios of S\&P500 and different ESG-based exchange trade funds (ETFs). The evidence shows that ESG ETFs are not immune to clusters of high volatility transmission (cross-kurtosis spillover), but governance and socially concerned assets seem to be more resilient to transitory shocks (cross-skewness spillover). Interestingly, clean energy and environmentally focused ETFs present significant cross-skewness linkages with traditional market indices.
