When ESG Meets Risk and Resilience: Quantile on Quantile Connectedness Across the G7, Volatility Index, and Gold Mining Sector
DOI:
https://doi.org/10.47743/saeb-2026-0036Keywords:
ESG Leader Indices, VIX, GDM, Quantile on Quantile Connectedness.Abstract
This study examines the connectedness between the G7 countries' ESG Leader indices, the CBOE Volatility Index (VIX) – an indicator of market stress – and the NYSE Arca Gold Miners Index (GDM), representing the gold-mining sector, using the Quantile-on-Quantile Connectedness approach. The analysis employs daily return data covering the period from January 2, 2019, to May 12, 2025. The findings reveal significant differences in the connectedness of G7 ESG Leader indices with VIX and GDM, varying according to market conditions and quantile levels. Results demonstrate that, under normal market conditions, ESG indices exhibit stronger connectedness with VIX. However, during periods of heightened market volatility, connectedness with GDM intensifies. Additionally, the notably high connectedness at reverse quantile levels emphasises the importance of monitoring the gold sector under varying market scenarios when assessing ESG investment performance. Furthermore, global economic and political events during the studied period – such as the COVID-19 pandemic, the Ukraine-Russia conflict, the SVB collapse, the Israel-Palestine conflict, and Trump's tariff implementations – significantly impact these connectedness measures, with the nature of the impact varying according to event type. Consequently, for ESG investors, adopting a dynamic, quantile-based monitoring strategy sensitive to market conditions is crucial. The study suggests that tracking VIX during normal market conditions and focusing on GDM during crisis periods would be more effective for portfolio diversification and risk management. The study is an original work; inclusion of GDM offers a more nuanced insight into the equity performance of gold mining companies, which frequently exhibit varying behaviours, particularly in times of financial distress. Furthermore, the integration of VIX as an indicator.
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