Time-varying Connectedness Between ESG Stocks and BRVM Traditional Stocks

barson-et-al-2024-time-varying-connectedness-between-esg-stocks-and-brvm-traditional-stocks.pdf

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Title

Time-varying Connectedness Between ESG Stocks and BRVM Traditional Stocks

Creator

Zynobia Barson, Kwame Simpe Ofori, Peterson Owusu Junior, Kwabena G Boakye, George Oppong Appiagyei Ampong

Description

Periods of crisis prompt investors to look out for means of making returns even in uncertain market conditions. Investors are using stocks selected on an environmental, social, and governance (ESG) basis to mitigate the unavoidable risks of investing in assets during these times of pandemic and war. In an integrated global financial system, we sought to explore the connectedness, if any, between the returns on the Bourse Régionale des Valeurs Mobilières (BRVM) and ESG-based stocks. Using a time-varying parameter vector autoregression (TVP-VAR) to analyze daily returns from 12 March 2013 to 4 April 2022, we find categorically that ESG-based stocks and BRVM stocks are connected, with ESG-based stocks dominating the network connectedness. Furthermore, using dynamic connectedness correlations from dynamic conditional correlation generalized autoregressive conditional heteroscedasticity (DCC …

Publisher

SAGE Publications

Date

2024

Source

https://scholar.google.com/citations?view_op=view_citation&hl=en&user=NogL9W0AAAAJ&cstart=20&pagesize=80&citation_for_view=NogL9W0AAAAJ:HDshCWvjkbEC

Language

English