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

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...

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Autores principales: Umar, Zaghum, Gubareva, Mariya, Tran, Dang Khoa, Teplova, Tamara
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8427833/
https://www.ncbi.nlm.nih.gov/pubmed/34518718
http://dx.doi.org/10.1016/j.ribaf.2021.101493
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author Umar, Zaghum
Gubareva, Mariya
Tran, Dang Khoa
Teplova, Tamara
author_facet Umar, Zaghum
Gubareva, Mariya
Tran, Dang Khoa
Teplova, Tamara
author_sort Umar, Zaghum
collection PubMed
description 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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spelling pubmed-84278332021-09-09 Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis Umar, Zaghum Gubareva, Mariya Tran, Dang Khoa Teplova, Tamara Res Int Bus Finance Article 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. Elsevier B.V. 2021-12 2021-07-08 /pmc/articles/PMC8427833/ /pubmed/34518718 http://dx.doi.org/10.1016/j.ribaf.2021.101493 Text en © 2021 Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Umar, Zaghum
Gubareva, Mariya
Tran, Dang Khoa
Teplova, Tamara
Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis
title Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis
title_full Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis
title_fullStr Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis
title_full_unstemmed Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis
title_short Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis
title_sort impact of the covid-19 induced panic on the environmental, social and governance leaders equity volatility: a time-frequency analysis
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8427833/
https://www.ncbi.nlm.nih.gov/pubmed/34518718
http://dx.doi.org/10.1016/j.ribaf.2021.101493
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