Return and volatility spillovers between sustainability indexes: evidences from global, regional and domestic indexes

Abstract

In this study, we research the effect of volatility spillover between indexes, which is an indicator for issuing various new financial products such as assets based on sustainability principles to investors. We use the EGARCH model to research the asymmetric effect between the indexes, and we estimate by the Multivariate VAR-EGARCH analysis to test the integration and volatility spillover between the indexes. Data cover daily returns from 2 January 2015 to 31 December 2019. According to the results, the impact of negative news has been more effective than positive news in the BISTSI, DJSI World and DJSI European return series. Cross volatility spillover between DJSI World and DJSI European for the expected volatility. The volatility spillovers between DJSI World and DJSI European are as a feedback. We have found the return spillover to be one-way from DJSI World and DJSI European to BISTSI.