吴优论文入选ESI高被引论文
经济学院吴优博士以通讯作者身份在 International Review of Economics & Finance发表的论文Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis于2024年11月14日入选经济与商学领域ESI高被引论文。高被引论文（Highly Cited Paper）是在过去十年内发表，受到引用的次数达到对应学科领域的全球前1％。International Review of Economics & Finance为ABS 2期刊，北京工商大学认定的A2期刊。
作者简介：
吴优，北京工商大学经济学院贸经系讲师，硕士生导师，期货从业人员资格考试命题组成员。博士毕业于北京航空航天大学，长期致力于货币与汇率以及金融市场研究。在Energy Economics、International Review of Economics & Finance、Finance Research Letters》、《Economic Modelling和《金融研究》《管理科学》等期刊发表20余篇论文。其中，ESI（经济与商学领域）热点论文1篇，ESI（经济与商学领域）高被引论文2篇。
论文摘要：
To comprehensively investigate information transmission and risk contagion among global environmental, social, and governance (ESG) stock markets, this paper employs the TVP-VAR time and frequency connectedness approaches to analyze return and volatility connectedness across global ESG stock indexes. The dataset comprises the eleven ESG stock indexes, including both developed and developing markets, spanning from October 1, 2007 to December 31, 2021. We find a strong connectedness between these ESG stock indexes in terms of return and volatility, with the ESG stock indexes in Europe and North America exhibiting mainly outward spillovers and those in Asia Pacific and India displaying mainly inward spillovers. Moreover, return connectedness is concentrated at high frequency, while volatility connectedness is concentrated at low frequency. Both return and volatility connectedness are affected by extreme events, especially the COVID-19 pandemic. However, volatility connectedness changes more dramatically than return connectedness during the pandemic. In addition, high ESG attention leads to low return connectedness but high volatility connectedness. During the pandemic, ESG attention positively affects both return and volatility connectedness across ESG stock indexes. Lastly, portfolios with the minimum time-frequency domain return connectedness exhibit higher hedging effectiveness, while portfolios with the minimum time-frequency domain volatility connectedness generate higher cumulative returns. Overall, this paper enriches the empirical framework for ESG stock markets, provides a reference for investors to invest in the market, and helps regulators to formulate forward-looking regulations that promote financial stability.
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