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Authors: DIANA-MIHAELA SANDU.
DOI: 10.2478/subboec-2023-0011
Published Online: 2023-12-30
Published Print: 2023-12-30
pp. 1-12
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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.
JEL Classification: G30, M14.
Keywords: ESG, ESG spillover, industry, volatility.
