The primary focus of this study is to analyse the impact of volatility spillover among Environmental, Social, and Governance (ESG) and stock returns in the group of seven (G7) countries. The study reveals that 62.80% of the shock to one index spreads to all other indices, including ESG, on average. Additionally, the study indicates that the TSX (Canada) and Dow Jones (United States) stock returns play a vital role as transmitters of shocks.
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Behera et al. (2024) studied this question.
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