COVID-19 media coverage and ESG leader indices

Document Type

Article

Source of Publication

Finance Research Letters

Publication Date

5-1-2021

Abstract

This study examines the dynamic connectedness between COVID–19 media coverage index (MCI) and ESG leader indices. Our findings provide evidence that MCI plays a role in facilitating the transmission of contagion to advanced and emerging equity markets during the pandemic. The connectedness between MCI and ESG leader indices is more pronounced around March and April 2020 at the peak of the pandemic. The US is a net receiver of shocks reaffirming that it was the most affected country during the pandemic. Our results provide implications for investors, portfolio managers, and policymakers in mitigating financial risks during the pandemic.

Disciplines

Business

Keywords

COVID–19, ESG leaders, Financial contagion, Media coverage index, TVP–VAR

Scopus ID

85108525262

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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