Abstract
Green characteristics are pivotal to risk transmission. We use environmental, social and governance (ESG) monetized accounting to measure green screening of stock-bond indices, and decompose risk transmission into comovement, contagion and hedging effects via a patched dependence structure model. Mechanisms through which green screening impacts three types of risk transmission effects are elucidated. Results indicate that high level of green screening is associated with significantly reduced comovement and contagion effects while hedging effects. Market sentiment factors such as interest rates, economic policy uncertainty and consumer confidence are identified as crucial channels. These results are further tested to be robust.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
