This book introduces environmental, social and governance (ESG) investment and clarifies its characteristics as financial securities. It is forecasted that companies' ESG information will be reflected in their corporate value as much as their financial information is in the future. The special feature of this book is to reveal the characteristics and impact of ESG investment using various quantitative analyses (e.g. EGARCH, asymmetric DCC, copula, VaR, connectedness, dynamic spillover). This book focuses on the relationship between some ESG indexes and the other economic variables, particularly in light of the recent economic environment (e.g. Global Financial Crisis, COIVID-19 pandemic, crude oil price crash). Readers can grasp a larger picture of ESG investment through a survey of its history and current status, predictions of its future, and interpretation of various empirical analysis results. .

lgli/P:\springer_dnd140621\springer\10.1007%2F978-981-16-2990-7.pdf

nexusstc/ESG Investment in the Global Economy (SpringerBriefs in Economics)/004b6e9091d06a05e904ba9a43cfdc63.pdf

lgrsnf/180.pdf

scihub/10.1007/978-981-16-2990-7.pdf

515176_1_En_Print.indd

Nakajima, Tadahiro; Hamori, Shigeyuki; He, Xie; Liu, Guizhou; Zhang, Wenting; Zhang, Yulian; Liu, Tiantian

Tadahiro Nakajima; Shigeyuki Hamori; Xie He; Guizhou Liu; Wenting Zhang; Yulian Zhang; Tiantian Liu

0014431

Springer Nature Singapore Pte Ltd Fka Springer Science + Business Media Singapore Pte Ltd

SpringerBriefs in economics, 1st ed. 2021, Singapore :, 2021

Springer Nature, Singapore, 2021

Singapore, Singapore

2, 20210728

producers:
Acrobat Distiller 10.0.0 (Windows)

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Contents 6
1 ESG Investment 8
1.1 Introduction 8
1.2 History 9
1.3 Activities and Strategies 11
1.4 Corporate Development and Expansion of Its Stakeholders 14
1.5 Future 17
1.6 Market Efficiency 18
1.7 Anomalies 20
1.8 Limits of the MPT 22
1.9 Guide to Empirical Analysis 24
References 25
2 Does ESG Index Have Strong Conditional Correlations with Sustainability Related Stock Indices? 27
2.1 Introduction 27
2.2 Empirical Techniques 30
2.3 Data and Summary Statistics 32
2.4 Empirical Results 35
2.4.1 AR-EGARCH Specification 35
2.4.2 A-DCC Model 37
2.4.3 AR (1) Model for the Estimated DCC with Dummy Variables 39
2.5 Conclusion 40
References 41
3 Measuring Tail Dependencies Between ESG and Renewable Energy Stocks: A Copula Approach 42
3.1 Introduction 42
3.2 Empirical Techniques 43
3.2.1 Copula 43
3.2.2 Time-Varying Copula 44
3.2.3 Marginal Density 46
3.3 Data and Summary Statistics 47
3.4 Empirical Results 49
3.5 Portfolio Performance 51
3.6 Conclusion 56
References 57
4 Which Factors Will Affect the ESG Index in the USA and Europe: Stock, Crude Oil, or Gold? 58
4.1 Introduction 58
4.2 Empirical Techniques 60
4.2.1 Measures of the Directional Spillover Effects in the Time Domain 60
4.2.2 Measures of the Directional Spillover Effects in the Frequency Domain 61
4.3 Data and Summary Statistics 62
4.4 Empirical Results 65
4.4.1 Analysis of Full-Sample Spillover Effects 66
4.4.2 Analysis of Time-Varying Spillover Effects 69
4.5 Conclusion 74
References 75
5 How Does the Environmental, Social, and Governance Index Impacts the Financial Market and Macro-Economy? 76
5.1 Introduction 76
5.2 Empirical Techniques 78
5.2.1 DY 12 78
5.2.2 BK 18 79
5.3 Data and Summary Statistics 81
5.4 Empirical Results 84
5.4.1 Full Sample Analysis 84
5.4.2 Rolling-Window Analysis 94
5.5 Conclusion 96
Appendix 97
References 105
Index 106

2021-10-10