Sustainability Risk Diffusion Through Clean Energy, Transition Risk, and ESG Market Connectedness in Malaysia
クリーンエネルギー、移行リスク、ESG市場の結合を通じたマレーシアにおけるサステナビリティリスクの拡散 (AI 翻訳)
Rinda Siaga Pangestuti, Roszy Non, E. Sadirsan
🤖 gxceed AI 要約
日本語
本論文は、クリーンエネルギー指数（CELS）、移行リスク指数（TRI）、マレーシアESG指数（F4GBM）の間のボラティリティ・スピルオーバーを2019-2025年にわたり分析。DCC-GARCHとDiebold-Yilmaz結合指標を組み合わせ、CELSが持続的なネット送信者、TRIが政策に敏感なネット受信者、F4GBMが交互にショックを吸収・送信することを示す。総結合指数は2023年末の約4%から2025年半ばには8%超に上昇し、気候関連リスクとESG市場パフォーマンスの統合が進んでいることを示唆する。
English
This paper analyzes volatility spillovers among the NASDAQ Clean Edge Green Energy Index (CELS), the Transition Risk Index (TRI), and Malaysia's FTSE4Good Bursa Malaysia Index (F4GBM) from 2019 to 2025 using DCC-GARCH and Diebold-Yilmaz connectedness. Findings show CELS as a net transmitter, TRI as a net receiver sensitive to policy, and F4GBM alternating roles. Total connectedness rose from ~4% in late 2023 to >8% by mid-2025, indicating deeper integration of climate-related risks and ESG market performance.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
本論文はマレーシアを対象としているが、日本企業にとっては新興アジア市場における気候関連リスクとESG指数の連動性を示す参考事例となる。日本の投資家が海外ESG投資のリスク管理に活用できる知見を含む。
In the global GX context
This study provides empirical evidence on climate risk diffusion in an emerging Asian market, complementing global research on transition risk and ESG market connectedness. It offers policy insights for strengthening ESG disclosure and green taxonomies, relevant to the broader ISSB and transition finance agenda.
👥 読者別の含意
🔬研究者:Offers empirical evidence on volatility spillovers between clean energy, transition risk, and ESG indices in an emerging market, useful for climate finance research.
🏢実務担当者:Investors can use the findings to incorporate transition-risk indicators into diversification and hedging strategies for emerging market ESG portfolios.
🏛政策担当者:Policymakers should note the need for stronger ESG disclosure and green taxonomies to manage climate-finance risks, as highlighted by the increasing connectedness.
📄 Abstract（原文）
Climate change and the global low-carbon transition have intensified sustainability-related risks across financial markets, yet evidence on how such risks diffuse into emerging Asian economies remains limited. This study examines the dynamic connectedness and volatility spillovers among the NASDAQ Clean Edge Green Energy Index (CELS), the Transition Risk Index (TRI), and Malaysia's FTSE4Good Bursa Malaysia Index (F4GBM) during 2019-2025. This quantitative econometric study applies a hybrid framework combining the Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model and the Diebold–Yilmaz connectedness index to daily returns. The results show that CELS is a persistent net transmitter of volatility, TRI is a policy-sensitive net receiver, and F4GBM alternates between absorbing and transmitting shocks. The total connectedness index rises from about 4% in late 2023 to above 8% by mid-2025, signaling deeper integration between climate-related risks and ESG market performance. The study concludes that investors should incorporate transition-risk indicators into diversification and hedging strategies, while policymakers should strengthen ESG disclosure, green taxonomies, and macroprudential climate-finance governance.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://doi.org/10.32535/ijafap.v9i2.4410first seen 2026-06-26 05:49:51
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