Volatility spillovers among sustainability indices: An application on BRICS-T countries

Investors are increasingly focusing on both sustainable investments and environmental, social, and governance (ESG) criteria in their portfolio selection and management activities to contribute to addressing global sustainability challenges. These investors, along with other intermediaries involved in sustainable investments, require up-to-date and reliable information to support their decision-making processes. Sustainability indices address this specific demand by highlighting firms that excel in areas such as social and environmental dimensions and corporate governance. This study aims to examine the presence of volatility spillover effects among the sustainability indices of Brazil, Russia, India, China, South Africa, and Turkey, collectively known as the BRICS-T countries, which are classified as emerging economies. The study uses daily data spanning from September 10, 2017, to May 2, 2024. To analyze the volatility spillover among sustainability indices, the BEKK-GARCH model is employed. The findings reveal that there is market integration among the sustainability indices of the BRICS-T countries and that these markets are influenced by each other's volatility dynamics. Furthermore, the results indicate that market shocks in these countries are transmitted to others not only in the short term but also in the long term. Keywords: Sustainability Index, Volatility Spillover, BRICS-T, BEKK GARCH