Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis
ORCID Identifiers
Document Type
Article
Source of Publication
Research in International Business and Finance
Publication Date
7-1-2021
Abstract
We apply wavelet analyses to study how the Covid-19 fueled panic influenced the volatility of ESG (environmental, social and governance) leaders’ indices encompassing the World, the USA, Europe, China, and the Emerging Markets. We document intervals of the low, medium, and high coherence between the Coronavirus Panic Index and the price moves of the ESG Leaders indices. The low coherence intervals signify 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 highlighting their potential role for designing cross-geography hedge strategies, both now and in the future.
DOI Link
ISSN
Publisher
Elsevier
Disciplines
Business
Keywords
Covid-19 panic, Wavelet time-frequency analyses, ESG investments, Hedge strategies, Equity volatility, Co-movements
Scopus ID
Recommended Citation
Umar, Zaghum; Gubareva, Mariya; and Tran, Dang Khoa, "Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis" (2021). All Works. 4362.
https://zuscholars.zu.ac.ae/works/4362
Indexed in Scopus
yes
Open Access
no