Dr inż. Marta Chylińska from the University of Gdańsk has received a prestigious honour in the POLSIF Sustainable Finance Research Award competition. The award-winning publication, of which she is a co-author, concerns the behaviour of financial markets incorporating ESG criteria in conditions of heightened uncertainty.

The honoured publication, entitled “Volatility and Co-Movement Between ESG and Non-ESG Futures and Uncertainty Indices: Evidence from Wavelet Coherence and GARCH Models”, was produced in collaboration between dr inż. Marta Chylińska from the Department of Econometrics at the Faculty of Management, University of Gdańsk, and dr hab. Magdalena Mosionek-Schweda, prof. UŁ from the Department of Finance and International Investment at the University of Łódź. It was published in the journal “Research in International Business and Finance” (DOI: https://doi.org/10.1016/j.ribaf.2026.103509).

The researchers analysed whether futures contracts based on ESG indices behave differently from those linked to traditional stock market indices in conditions of rising uncertainty. ESG indices take into account criteria relating to the environment, social responsibility and corporate governance (Environmental, Social and Governance), whilst non-ESG indices are not constructed using these criteria.

Risk management and the design of investment strategies

The analysis examined the relationships between ESG and non-ESG markets and three key measures of uncertainty: the VIX volatility index, the GPR geopolitical risk index and the EPU economic policy uncertainty index.

The study utilised GARCH models and wavelet coherence analysis, which enabled an analysis of the volatility of the assets under study and the changes in the relationships between them over time and across different investment horizons.

The results indicate that ESG contracts remain linked to general market risk, but their volatility profile may differ from that of contracts based on traditional indices, particularly in the short and medium term. The study also points to a certain degree of relative resilience of ESG contracts during periods of severe market turbulence.

This honour at the POLSIF Sustainable Finance Research Award represents yet another academic achievement for dr inż. Marta Chylińska and confirms the significance of her research into sustainable finance.

The findings of this work may find application, amongst other things, in risk management and the design of investment strategies that take ESG factors into account.

POLSIF Awards is an industry award entirely dedicated to sustainable finance. The competition recognises institutions, funds and companies, as well as individuals, who put into practice solutions supporting the climate and energy transition and the development of a socially responsible economy. The competition is organised by the POLSIF Association – Sustainable Investment Forum Poland.

We offer our warmest congratulations and wish you continued academic success!