Abstract
This study seeks to explore the impact of corporate environmental responsibility (CER) on idiosyncratic volatility contagion. We first adopt the general dynamic factor model to extract the idiosyncratic volatility. The long-term variance decomposition network is then constructed to examine the contributions of CER the contagion network of idiosyncratic volatility. The results demonstrate that idiosyncratic volatility contagion between sectors will be significantly strengthened during the stock market instability. CER play important role in the idiosyncratic volatility contagion, it will change the contagion ability and direction of idiosyncratic volatility during the stock market instability.
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