Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis.
Res Int Bus Finance
; 58: 101493, 2021 Dec.
Article
in English
| MEDLINE | ID: covidwho-1300989
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.
Full text:
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Collection:
International databases
Database:
MEDLINE
Type of study:
Experimental Studies
/
Randomized controlled trials
Language:
English
Journal:
Res Int Bus Finance
Year:
2021
Document Type:
Article
Affiliation country:
J.ribaf.2021.101493
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