Impact of the Covid-19 induced panic on the Environmental,Social and Governance leaders equity volatility: A time-frequency analysis |
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| Institution: | 1. College of Business, Zayed University, P.O. Box 144534, Abu Dhabi, United Arab Emirates;2. ISCAL – Lisbon Accounting and Business School, Instituto Politécnico de Lisboa, Av. Miguel Bombarda, 20, 1069-035 Lisbon, Portugal;3. SOCIUS / CSG – Research in Social Sciences and Management, Rua Miguel Lupi, 20, 1249-078, Lisbon, Portugal;4. Institute of Business Research, University of Economics Ho Chi Minh City, 59C Nguyen Dinh Chieu, District 3, Ho Chi Minh City, Viet Nam;5. Centre for Financial Research & Data Analytics, National Research University Higher School of Economics / HSE University, Pokrovsky Blv. 11, 109028, Moscow, Russian Federation;6. Institute of Business Research, University of Economics Ho Chi Minh City, Viet Nam;7. National Research University Higher School of Economics / HSE University, Pokrovsky Blv. 11, 109028, Moscow, Russian Federation |
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| 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. |
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| Keywords: | Covid-19 panic Wavelet time-frequency analyses ESG investments Hedge strategies Equity volatility Co-movements |
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