Cross-border ESG rating dynamics: An in-depth connectedness analysis of portfolio returns and volatilities in the USA and Canada

作     者：Esparcia, Carlos Gubareva, Mariya Sokolova, Tatiana Jareno, Francisco 

作者机构：Univ Castilla La Mancha Fac Econ & Business Sci Plaza Univ 1 Albacete 02071 Spain Univ Lisbon Lisbon Sch Econ & Management ISEG Rua Miguel Lupi 20 P-1249078 Lisbon Portugal Univ Lisbon SOCIUS CSG Res Social Sci & Management Rua Miguel Lupi 20 P-1249078 Lisbon Portugal HSE Univ Natl Res Univ Higher Sch Econ Pokrovsky Blv 11 Moscow 109028 Russia 

出 版 物：《NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE》 (北美经济学与金融杂志)

年 卷 期：2025年第75卷第PartA期

核心收录：

学科分类：02[经济学] 1202[管理学-工商管理] 0201[经济学-理论经济学] 

基　　金：Spanish Ministerio de Ciencia e Innovacion [PID2021-128829NB-100, MCIN/AEI/10.13039/501100011033] European Regional Development Fund (ERDF) A way of making Europe Spanish Junta de Comunidades de Castilla-La Mancha [SBPLY/21/180501/000086] Spanish Universidad de Castilla-La Mancha [2022-GRIN-34491] ERDF funds FCT, I.P Portuguese national funding agency for science, research and technology [UIDB/04521/2020] 

主　　题：TVP-VAR model ESG assessment pillars Connectedness Rating changes Portfolio construction Investment risks 

摘      要：This study uses a time-varying parameter vector autoregression (TVP-VAR) model to examine the dynamic relationship between rating changes and portfolio returns in the US and Canada across the environmental (E), social (S), governance (G) and total ESG assessment pillars. The analysis includes both return and volatility spillovers and covers the period from March 2009 to October 2022. The study reveals a fluctuating pattern of connectedness, influenced by global financial events, such as the 2008 financial crisis. In particular, the US shows higher levels of connectedness. Rating changes, particularly in the ESG dimension, show stronger spillovers than returns, highlighting their importance in portfolio construction. The study further explores net connectedness profiles, identifying ESG rating changes as net transmitters. The results suggest that investors should prioritize rating changes over returns, highlighting the importance of considering ESG factors in portfolio management, especially the social criterion, to mitigate investment risks. The research contributes to the understanding of ESG dynamics in international equity markets and provides valuable insights for investors and market regulators.