近日，以我院教師陳語副教授為第一作者的合作論文《Quantifying the extreme spillovers on worldwide ESG leaders’ equity》在國際知名期刊《International Review of Financial Analysis》2022年第11期上正式刊出。
DOI：https://doi.org/10.1016/j.irfa.2022.102425
文章摘要：
With the increasing consensus about the severity of climate change, environmental, social, and governance (ESG) philosophy has been rising and remarkably integrated into green investors' portfolio decisions. This paper applies the novel quantile-based VAR spillover index methods and examines the spillovers among worldwide ESG leaders' equity markets under different market states. Overall, the significant spillovers among global ESG leaders' equity can be captured. The Northern American and E.U. markets are the main risk transmitters to the global ESG investment market. Based on the quantile connectedness analysis, the spillovers among worldwide ESG leaders' equity are more significant for extreme market states than the normal states. Meanwhile, the downward tail risk spillover is larger than the upper. Thus, this paper obtains an asymmetric “U” shape curve to describe the total spillovers across different quantiles. The dynamic estimation also supports the asymmetric characteristics of the cross-market spillover effects and suggests external events could shape the pattern of dynamic connectedness. The potential determinants of total and net extreme spillovers are also investigated to help increase investors' awareness of ESG risk management decisions. Our findings eventually provide a crucial understanding of global ESG investment and indicate some targeted investment implications.
作者介紹：
陳語，1994年12月生，澳门永利集团304官网手机副教授。主要研究方向為發展經濟學、能源經濟與政策、綠色金融等，在《經濟研究》、《Energy Economics》、《International Review of Financial Analysis》等國内外學術期刊發表論文10餘篇。負責并參與國家部委、能源國企等橫向及縱向項目10餘項，結合課題研究成果形成國家級政策專報多份。兼任國家能源集團技術經濟研究院項目外聘專家、共“碳”未來—碳金融與碳交易研學課堂全國行授課名師等。
刊物簡介：
《International Review of Financial Analysis》為ABS三星期刊，JCR一區，金融類SSCI一區期刊，影響因子8.235，旨在發表經濟及金融領域的高質量理論與實證論文。
