Is Quantile Connectedness Flexible or Uniform Under Catastrophic Tenure? Insights into ESG Investing and Financial Markets in the Quad Nations

Yadav, MP, Kushwah, SV, Sehgal, V, Saradhi, VR and Shore, AP ORCID: 0000-0002-0013-1882 (2025) Is Quantile Connectedness Flexible or Uniform Under Catastrophic Tenure? Insights into ESG Investing and Financial Markets in the Quad Nations. Global Journal of Flexible Systems Management. pp. 1-16. ISSN 0972-2696

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Abstract

This paper unfolds the quantile connectedness of the ESG investing index with the financial markets. The stock market is considered a representation of the broader financial markets. We use the FlexShares STOXX US ESG Select Index Fund (ESG) as a proxy for the ESG investing index. In contrast, the stock exchanges of each country, such as those in the USA, Japan, Australia, and India, are considered proxies for their respective stock markets. The daily observation of the examined markets extended from 31 December 2019 to 16 January 2023. Quantile vector autoregression (QVAR) is employed to investigate the connectedness at different quantiles. The dynamic linkages among the examined markets scatter at different quantiles, as they are not uniform. The low quantile is spotted with the highest connectedness, followed by the upper and middle quantiles. Additionally, the ESG investing index and the Japanese stock market dominate each quantile in terms of connectedness. This study offers valuable insights for investors, fund managers, and policy analysts.

Item Type:	Article
Uncontrolled Keywords:	3502 Banking, Finance and Investment; 35 Commerce, Management, Tourism and Services; 3505 Human resources and industrial relations; 3507 Strategy, management and organisational behaviour
Subjects:	H Social Sciences > HF Commerce > HF5001 Business
Divisions:	Liverpool Business School
Publisher:	Springer
Date of acceptance:	5 October 2025
Date of first compliant Open Access:	26 January 2026
Date Deposited:	26 Jan 2026 11:41
Last Modified:	26 Jan 2026 11:41
DOI or ID number:	10.1007/s40171-025-00470-y
URI:	https://researchonline.ljmu.ac.uk/id/eprint/27974

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