Abstract
We investigate the convergence behaviour of 18 ESG stock market indices from a global perspective. We rely on the convergence tests and clustering procedures by Phillips and Sul (2007, 2009) which are based on a time-varying nonlinear panel factor model. In particular, we find a structural break in May 2019. Prior to the break, we identify Brazil and China as co-diverging units and find some heterogeneity in relative convergence clusters for the remaining countries. After the break, we do not find only relative, but also level convergence amongst all considered countries in one single club. The structural break and its timing can be linked to significantly increased global investor attention for ESG.
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