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This Author published in this journals
All Journal International Journal of Accounting & Finance in Asia Pasific
Roszy Non
Selangor University
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Sustainability Risk Diffusion Through Clean Energy, Transition Risk, and ESG Market Connectedness in Malaysia Rinda Siaga Pangestuti; Roszy Non; Erwin Susanto Sadirsan
International Journal of Accounting and Finance in Asia Pasific (IJAFAP) Vol 9, No 2 (2026): June 2026
Publisher : AIBPM Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32535/ijafap.v9i2.4410

Abstract

Climate change and the global low-carbon transition have intensified sustainability-related risks across financial markets, yet evidence on how such risks diffuse into emerging Asian economies remains limited. This study examines the dynamic connectedness and volatility spillovers among the NASDAQ Clean Edge Green Energy Index (CELS), the Transition Risk Index (TRI), and Malaysia's FTSE4Good Bursa Malaysia Index (F4GBM) during 2019-2025. This quantitative econometric study applies a hybrid framework combining the Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model and the Diebold–Yilmaz connectedness index to daily returns. The results show that CELS is a persistent net transmitter of volatility, TRI is a policy-sensitive net receiver, and F4GBM alternates between absorbing and transmitting shocks. The total connectedness index rises from about 4% in late 2023 to above 8% by mid-2025, signaling deeper integration between climate-related risks and ESG market performance. The study concludes that investors should incorporate transition-risk indicators into diversification and hedging strategies, while policymakers should strengthen ESG disclosure, green taxonomies, and macroprudential climate-finance governance.
Co-Authors Erwin Susanto Sadirsan Rinda Siaga Pangestuti