Asymmetric effects on asymmetry: The resilience of ESG indices

• High-order-moment spillovers between S&P500 and ESG ETFs are tested • A Gram-Charlier extension with high-order-moment spillovers is implemented • ESG markets are not immune to cross-kurtosis transmission • Governance and Socially concerned assets are resilient to cross-skewness • Environmentally concerned assets present cross-skewness linkages to S&P500 This paper implements a recently developed multivariate volatility model, based on multivariate Gram-Charlier expansions, that incorporates high-order moment spillovers across assets, to examine the skewness and kurtosis transmission between the S&P500 index and Environmental, Social and Governance (ESG) based Exchange Traded Funds (ETFs). The evidence shows that ESG ETFs are not immune to tail dependence transmission (cross-kurtosis spillover). However, Governance and Social focused assets appear more resilient to transitory shocks originating in other markets (cross-skewness spillover). Interestingly, Environment-focused ETFs exhibit significant cross-skewness linkages with traditional market indices.