The relationship between the Covid-19 media coverage and the Environmental, Social and Governance leaders equity volatility: a time-frequency wavelet analysis

Document Type

Article

Source of Publication

Applied Economics

Publication Date

1-28-2021

Abstract

We apply wavelet analyses to study how the social media coverage of the Covid-19 pandemic influenced the volatility of ESG (Environmental, Social and Governance) leaders indices encompassing World, USA, Europe, China, and Emerging Markets. We document intervals of low, medium, and high coherence between the Media Coverage Index and the price moves of the ESG Leaders indices. The low coherence intervals indicate the diversification potential of ESG investments during a systemic pandemic such as Covid-19. We document differences in the pattern exhibited by various geographical indices evidencing their potential role for designing cross-geography hedge strategies.

ISSN

0003-6846

Publisher

Routledge

Disciplines

Business

Keywords

Covid-19, developed and Emerging markets, ESG investments, social media coverage, wavelet coherence phase-difference

Scopus ID

85100180023

Indexed in Scopus

yes

Open Access

yes

Open Access Type

Bronze: This publication is openly available on the publisher’s website but without an open license

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