We use a new method to disentangle various sources of oil price shocks and find how these sources are connected to major global environmental, social, and governance (ESG) equity indices under extreme market movements using daily data from October 2007 to March 2022. Our quantile-based connectedness analysis shows that return connectedness considerably amplifies with the size of the shock for both positive and negative shocks, indicating that oil shocks spread more intensely during extreme market movements. We also find that oil shocks originating from unexpected variation in demand and risk substantially contribute to the variation in the ESG returns while supply shocks have relatively little effect when estimated at the median level but the contribution of all different types of shocks remain extremely high when analyzed at the tails. Our results indicate that socially responsible investments are prone to contagion and thus offer limited portfolio diversification benefits under extreme market movements. One clear implication of our study is that investors need to carefully design their risk management and diversification strategies to account for not only the source of the oil shocks but also the magnitude of the oil shock on their green equity investments. We also show that total dynamic connectedness significantly increased during the global financial crisis, European debt crisis, the Brexit episode and the recent COVID-19 outbreak.

我们使用一种新方法来理清油价冲击的各种来源，并使用 2007 年 10 月至 2022 年 3 月的每日数据，找出极端市场波动下这些来源与主要全球环境、社会和治理 (ESG) 股票指数的关系。基于连通性分析表明，无论是正向冲击还是负向冲击，收益连通性都会随着冲击的大小而显着放大，这表明在极端的市场波动期间，石油冲击的传播更加强烈。我们还发现，需求和风险的意外变化引起的石油冲击对 ESG 回报的变化有很大影响，而供应冲击在中值水平估计时影响相对较小，但在分析时，所有不同类型的冲击的贡献仍然非常高在尾巴上。我们的研究结果表明，社会责任投资很容易蔓延，因此在极端的市场波动下提供的投资组合多元化收益有限。我们的研究的一个明确含义是，投资者需要仔细设计其风险管理和多元化策略，不仅要考虑石油冲击的根源，还要考虑石油冲击对其绿色股权投资的严重程度。我们还表明，在全球金融危机、欧洲债务危机、英国脱欧事件和最近的 COVID-19 爆发期间，总动态连通性显着增加。