Volatility Spillovers of ESG Stock Indices Under Rising Geopolitical Risk : New Insights from Emerging and Developed Markets

The role of the capital market in financing the energy transition, reducing global warming, and social imbalances seems invaluable. However, it is important to note that above-average investments in ESG companies can generate speculative activities and unexpected price volatility, dictated by inadequate valuation. In response to the rapid growth of sustainability investments, we examine the linkages of ESG and broad-based equity indices, covering emerging and developed regions, during a turbulence related to the COVID-19 and Russia's war in Ukraine. We use volatility connectedness indices based on the methodology proposed by Diebold and Yilmaz (2012, 2014), as well as structural breaks