Title

Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis

ORCID Identifiers

0000-0002-0425-2665

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.

ISSN

0275-5319

Publisher

Elsevier

Disciplines

Business

Keywords

Covid-19 panic, Wavelet time-frequency analyses, ESG investments, Hedge strategies, Equity volatility, Co-movements

Scopus ID

85111801445

Indexed in Scopus

yes

Open Access

no

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