A Study of the Impact of ESG Performance of Financial Institution on Systemic Risk Spillover
Based on the DCC-GARCH-△CoVaR model,the relationship between the ESG performance of financial institutions and their systemic risk spillover is investigated.The empirical research reveals that,on the whole,the improvement of ESG performance of financial institutions can effectively reduce the systemic risk spillover.And when it is decomposed into three dimensions,the environmental and social performances have an inhibitory effect on the systemic risk spillover,while the role of governance performance is positive.The increase in the size of the institution,as an internal factor,will enhance the inhibitory effect of ESG performance on the systemic risk spillover,and the effect is more pronounced in the case of external factors,namely the occurrence of crisis events.After subdividing the financial indus-try,the improvement of ESG performance of financial institutions in the securities industry can reduce the systemic risk spillover,but the result is the opposite in the insurance industry,while the effect in the banking industry is not significant.
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