Title: Comparative risk assessment of ESG portfolios in emerging market vs. developed market

Authors: Vishal Roy; Twinkle Jaiswal; Amit Gautam

Addresses: Institute of Management Studies, Banaras Hindu University, Varanasi, 221005, India ' Institute of Management Studies, Banaras Hindu University, Varanasi, 221005, India ' Institute of Management Studies, Banaras Hindu University, Varanasi, 221005, India

Abstract: The increasing significance of environmental, social, and governance (ESG) investments has led to the requirement of a thorough evaluation of their risk under diverse market conditions. In order to shed insight on the unique risk associated with this kind of investment strategy, the present study explores the comparative risk assessment of ESG portfolios in developed and emerging markets. The research uses daily data of ESG indices of China, India, UK and USA representing emerging and developed markets respectively. The study models and compares the volatility of the four series using a generalised autoregressive conditional heteroskedasticity (GARCH) process, providing insights into the risk profiles of ESG portfolios in different markets. The persistence of volatility of ESG portfolios in emerging markets is slightly greater than the volatility of ESG portfolios in developed markets for the studied period. This analysis offers insightful suggestions to policymakers, asset managers, and investors looking to maximise their portfolio returns through ESG investing.

Keywords: environmental, social, and governance; ESG portfolio; emerging market; developed market; comparative risk assessment; GARCH model; sustainable finance.

DOI: 10.1504/IJICBM.2026.152304

International Journal of Indian Culture and Business Management, 2026 Vol.37 No.3, pp.333 - 347

Received: 05 Jan 2024
Accepted: 01 Feb 2024
Published online: 16 Mar 2026 *

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