Forecasting ESG Index Effect on the Stock Returns: Evidence From G7 Economies

Le résumé fourni par la source

This study aims to test the mean and volatility spill over from the environmental, social, and governance (ESG) market to the stock markets of G7 countries. The study used ARMA-GARCH model to predict the results. The findings of the study reveal that as the spill over exists in the markets, however the mean volatility does not exist showing efficiency of the market as significant results depict that past prices cannot predict the future prices. It provides new insights for the international portfolio investors and policymakers by shedding light on how cross-markets correlate in two different markets.

Ce résumé expose les affirmations des auteurs. BNTIC ne l’interprète pas comme une validation indépendante des résultats.