Information flow between BRVM and ESG stock returns: A frequency-dependent analysis

Information flow between BRVM and ESG stock returns: A frequency-dependent analysis

Collins Baffour Kyei, George Oppong Appiagyei Ampong, Peterson Owusu Junior, Kwame Simpe Ofori, Kan David N'Dri, Koffi N'Da

This paper seeks to analyze the information flow between the Bourse Régionale des Valeurs Mobilières (BRVM) and Environmental, Social, and Governance (ESG) stocks, focusing on the time and frequency domains. By studying these aspects, we aim to gain a deeper understanding of how information is transmitted between BRVM and ESG stocks, shedding light on the dynamics and interactions within this context. The study analyzes the decomposed daily returns of four indices: BRVM Composite Index (BRVMCI), BRVM 10 Index (BRVM10), FTSE/JSE SA All Share Index (FTSEJSE), and FTSE/JSE Top 30 Responsible Investment Index (FTSERI). We employed Rényi transfer entropy estimates to measure the information flow between the stocks returns.
To ensure the robustness of the findings, the study also utilizes the Dynamic Conditional Co-variance-Generalized autoregressive Conditional Heteroscedasticity …

Elsevier

2024

https://scholar.google.com/citations?view_op=view_citation&hl=en&user=NogL9W0AAAAJ&cstart=20&pagesize=80&citation_for_view=NogL9W0AAAAJ:ZeXyd9-uunAC

English