Abstract

This study investigates the volatility spillovers among India’s sustainability-linked and technology-driven financial indices, spanning the digital economy, ESG investments, electric vehicles, and energy. Using a Quantile Time-Frequency Connectedness framework, we examine five key indices of Nifty100 Enhanced ESG, Nifty India Digital, Nifty EV & New Age Automotive, MSX iCOMEDEX Energy, and Gold from April 2018 to December 2024. The research captures connectedness across quantiles and time, especially during times of global stress such as COVID-19 pandemic and geopolitical tensions. Results show short-term connectedness accounting for a substantial portion of total connectedness, with ESG and Digital indices emerging as persistent net transmitters, while Gold and Energy act as volatility absorbers. Long-term spillovers are weaker but suggest underlying structural linkages that intensify under prolonged economic uncertainty. Notably, the Nifty100 Enhanced ESG index shows the highest spillover, highlighting its systemic influence. Portfolio optimization further underscore the stabilizing role of Gold and ESG-linked assets, offering risk-averse strategies in turbulent markets. This study fills a key gap by integrating quantile and frequency-domain connectedness in the Indian context and provides novel insights into asymmetric risk transmission for policy and portfolio design.

Keywords: India-Digital, Fintech, ESG, Electric Vehicle & New Age Automotive, Quantile connectedness, Multivariate Portfolio Construction.

How to Cite:

Singhania, M., Seth, S. & Saini, C., (2025) “Volatility Spillovers Across Fintech, Digital Economy, and ESG Indices in India: A Quantile Time-Frequency Connectedness Analysis”, Australasian Accounting, Business and Finance Journal 19(4): 4, 58–86. doi: https://doi.org/doi.org/10.14453/aabfj.v19i4.04

Rights: In Copyright