Asymmetric return and volatility spillovers between sustainable finance indexes, green energy markets and equity markets
Esra Karpuz Demir; Seval Çetinoğlu; Yasemin Deniz Koç · 2026 · Future Business Journal
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Abstract
Abstract This study investigates return and volatility spillovers among the S&P Green Bond Index, S&P Global 1200 Carbon Efficient Index, S&P Global 1200 ESG Index, MAC Global Solar Energy Index, S&P Global Clean Energy Index, MSCI World Index, and MSCI Emerging Markets Index over the period from 30/06/2014 to 22/07/2024. Using a Vector Autoregressive–Exponential Generalized Autoregressive Conditional Heteroskedasticity (VAR-EGARCH) model, the study examines the dynamic interlinkages between sustainable finance indexes, energy markets, and global equity markets. The findings reveal that return
Abstract by Esra Karpuz Demir; Seval Çetinoğlu; Yasemin Deniz Koç, Future Business Journal (2026) — licensed CC BY 4.0.
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Metadata source: DOAJ · DOI 10.1186/s43093-026-00882-x