Dynamics of Volatility Spillover between Energy and Environmental, Social and Sustainable Indices


Abstract views: 334 / PDF downloads: 351

Authors

  • Manivannan Babu Bharathidasan School of Management, Bharathidasan University, Tiruchirappalli, Tamil Nadu, India,
  • A. Antony Lourdesraj Bharathidasan School of Management, Bharathidasan University, Tiruchirappalli, Tamil Nadu, India,
  • C. Hariharan Nehru Institute of Technology, Coimbatore, Tamil Nadu, India,
  • Gayathri Jayapal Department of Commerce and Financial Studies, Bharathidasan University, Tiruchirappalli, Tamil Nadu, India,
  • G. Indhumathi Mother Teresa Women’s University, Kodaikanal, Tamil Nadu, India,
  • J. Sathya Sri Sarada College for Women, Tamil Nadu, India,
  • Chinnadurai Kathiravan VIT Business School, Vellore Institute of Technology, Vellore, Tamil Nadu, India.

DOI:

https://doi.org/10.32479/ijeep.13482

Keywords:

Energy Index, Environmental sustainability, Composite index, Energy crisis

Abstract

The purpose of this research was to examine the dynamics of volatility spillover between energy and environmental, social, and sustainable indices. COVID19 prompted the research to select April 2019 to March 2022 as a sample period, and the respective data (Daily Prices) of the Nifty Energy and Nifty ESG indices were obtained from the National Stock Exchange of India Limited. The outcomes of the study confirmed that the daily returns of Nifty Energy and Nifty 100 ESG indices were not normally distributed and reached stationarity at level difference. Further, the study employed GARCH Models such as ARCH, GARCH (1,1), and GARCH-M to determine conditional volatility, and it validated the ARCH influence on the daily returns of the Nifty Energy and Nifty 100 ESG, during the study period

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Published

2022-11-28

How to Cite

Babu, M., Lourdesraj, A. A., Hariharan, C., Jayapal, G. ., Indhumathi, G., Sathya, J., & Kathiravan, C. . (2022). Dynamics of Volatility Spillover between Energy and Environmental, Social and Sustainable Indices. International Journal of Energy Economics and Policy, 12(6), 50–55. https://doi.org/10.32479/ijeep.13482

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