“Stylized facts” in Price Dynamics: Do They Matter for ESG Financial Markets?

Cristian Budris; Bogdan Dima; Ciprian Sipos

doi:10.5755/j01.ee.36.4.38950

Authors

Cristian Budris Faculty of Economics and Business Administration, West University of Timisoara, Romania
Bogdan Dima Faculty of Economics and Business Administration, West University of Timisoara, Romania https://orcid.org/0000-0002-0820-9904
Ciprian Sipos Faculty of Economics and Business Administration, West University of Timisoara, Romania https://orcid.org/0000-0001-9101-9046

DOI:

https://doi.org/10.5755/j01.ee.36.4.38950

Keywords:

globalization, market integration, developed markets, ESG indices, “stylized facts”, volatility spillover

Abstract

We investigate the presence of “stylized facts” within the ESG segment of the developed financial markets. The effects resulting from their presence are relevant given their impact on asset pricing, portfolio management, and even the efficiency of policy decisions. Moreover, during turbulent periods, the effects and presence of such elements can enable integration to act as a net transmitter of volatility. To explore this concept, we employed a broad and diversified toolset to detect their presence and influence. We tested five developed ESG indices, covering a time window from January 2014 to March 2023, by employing high-frequency data. The selection of indices captures and accounts for different geographical settings. The results suggest that “stylized facts” are present in the ESG segment of developed markets and volatility can spill over from market to market and fuel the contagion effect on a global scale, via the integration process and its effects.

Author Biographies

Cristian Budris, Faculty of Economics and Business Administration, West University of Timisoara, Romania

Cristian-Andrei Budris is currently a Ph.D. student in Finance at the Doctoral School of Economics and Business Administration, West University of Timișoara, Romania. His ongoing doctoral research focuses on asset pricing and financial markets. His main research interests include financial markets, with emphasis on ESG finance, asset pricing, econometrics, and financial modelling.
Bogdan Dima, Faculty of Economics and Business Administration, West University of Timisoara, Romania

Bogdan Dima is a Full Professor and PhD supervisor at West University of Timişoara (Romania), Faculty of Economics and Business Administration, Department of Finance, Informational Systems and Modelling for Business. Throughout his academic activity, Dr. Dima has published over 140 scientific articles and 16 books or book chapters on topics related to economic growth, econophysics, econometrics, capital markets, and monetary economics.
Ciprian Sipos, Faculty of Economics and Business Administration, West University of Timisoara, Romania

Ciprian Sipos, Ph.D., is an Associate Professor, at the West University of Timișoara (Romania), Faculty of Economics and Business Administration, Department of Finance, Informational Systems and Modelling for Business. He earned his Ph.D. in Finance on the topic of financial modeling, attending a research internship at Nottingham Trent University (UK). His main research interests cover the fields of financial modelling, FinTech, econometrics, and economic growth. He is the author of eight books and more than 70 refereed articles, most published in peer-reviewed journals.