Stress Amplified Resilience: ESG and Joint Fragility in Equity Markets (opens in new tab)

Market stress rarely harms investors through one channel alone. Losses, volatility spikes, and deteriorating tradability often arrive together. We examine whether ESG is associated with lower exposure to clustered fragility in equity markets. Using monthly data on S&P 500 constituents from 2014 to 2025, we study downside returns, volatility, illiquidity, and a cofragility state that captures their joint occurrence within the same firm month. T...