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The research aims to analyze the relationship between ESG global indices and GCC equity markets, focusing on volatility transmission.

Time-frequency connectedness between the ESG global indices and GCC equity markets: policy implications using the TVP-VAR model

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Examines connectivity between ESG markets and GCC equities, revealing implications for policy and investment.

The research aims to analyze the relationship between ESG global indices and GCC equity markets, focusing on volatility transmission.
Utilized a time-varying parameter vector autoregressive (TVP-VAR) model with frequency connectedness approach.
Analyzed daily data from 2014 to 2024, including various ESG and GCC equity indices.
Decomposed volatility across short- and long-term horizons.
Findings showed significant short-term volatility spillovers from ESG indices to GCC markets, especially during events like the COVID-19 pandemic.
ESG indices and the S&P 500 were dominant transmitters of volatility.
Saudi Arabia and the UAE acted as key regional transmitters, while Kuwait and Bahrain were net receivers.
Long-term spillovers indicated gradual influences from green finance instruments.

Irani et al. (2026) studied this question.

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