The Analysis of the Relationship Among Climate Policy Uncertainty, Logistic Firm Stock Returns and ESG Scores: Evidence from the TVP-VAR Model

Authors : Fatma Gül Altin, Samet Gürsoy, Mesut Doğan, Enes Burak Ergüney

Pages : 42-59

View : 83 | Download : 97

Publication Date : 2023-12-28

Article Type : Research Paper

Abstract :This study examines the relationship between climate policy uncertainty (CPU), China\'s environmental impact, social responsibility and corporate governance practices (ESG) leader scores and logistics stocks. China Ocean Shipping Company (COSCO), one of the pioneers in global markets, was chosen to represent the logistics industry. The variables were analyzed with the Time-Varying Parameter Vector Autoregressive Model (TVP-VAR) using monthly data from October 2007 to July 2022. As a result of the analysis, it was determined that the COSCO logistics sector variable spreads the volatility to the Chinese ESG Leaders and CPU variables. This indicates that COSCO, one of the leading companies in the global markets, has an impact on the sustainability scores of the CHINA Stock Exchange. In other words, it has been observed that shock transfer occurs from the COSCO variable to the China ESG Leader and CPU variables. Finally, it proves that the sustainability scores of companies operating in the Logistics sector, especially for China, are dominant among all other sector scores.
Keywords : İklim Politika Belirsizliği, ESG, Lojistik Sektörü, COSCO