Navigating contemporary crisis risk spillover dynamics and growth of the S&P ESG exchange-traded funds

Purpose This study investigates the volatility spillovers between S&P Environmental Social and Governance, Exchange-Traded Funds and growth during contemporary crises (the Russia–Ukraine and the Israel–Palestine conflicts). Design/methodology/approach This paper uses a connectedness index-based TVP-VAR model for daily data from April 16, 2021, to September 30, 2024. Findings The findings reveal that the SPDR S&P 500 ESG ETF (EFIV), Xtrackers S&P 500 ESG ETF (SNPE) and Xtrackers S&P MidCap 400 ESG ETF emerged as notable transmitters, whereas the Northern Global Sustainability Index Fund (NSRIX) was a major recipient of risk spillover during both the contemporary crisis. Furthermore, the Xtrackers S&P 500 Growth ESG ETF (SNPG) exhibits a dynamic response to crises, shifting its behavior accordingly: it acts as a risk spillover transmitter during the Israel–Palestine conflict, while it becomes a risk receiver during the Russia–Ukraine conflict, reflecting its adaptive approach to geopolitical events. Originality/value Our findings highlight the risks of ESG market contagion during crises and demonstrate how green markets can mitigate climate change while creating new opportunities for investors and businesses.