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

Zaghum Umar; Mariya Gubareva; Dang Khoa Tran; Tamara Teplova

doi:10.1016/j.ribaf.2021.101493

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

Res Int Bus Finance. 2021 Dec:58:101493. doi: 10.1016/j.ribaf.2021.101493. Epub 2021 Jul 8.

Authors

Zaghum Umar^{1

2}, Mariya Gubareva^{3

4

5}, Dang Khoa Tran⁶, Tamara Teplova⁷

Affiliations

¹ College of Business, Zayed University, P.O. Box 144534, Abu Dhabi, United Arab Emirates.
² Institute of Business Research, University of Economics Ho Chi Minh City, Viet Nam.
³ ISCAL - Lisbon Accounting and Business School, Instituto Politécnico de Lisboa, Av. Miguel Bombarda, 20, 1069-035 Lisbon, Portugal.
⁴ SOCIUS / CSG - Research in Social Sciences and Management, Rua Miguel Lupi, 20, 1249-078, Lisbon, Portugal.
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, 59C Nguyen Dinh Chieu, District 3, Ho Chi Minh City, Viet Nam.
⁷ National Research University Higher School of Economics / HSE University, Pokrovsky Blv. 11, 109028, Moscow, Russian Federation.

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.

Keywords: Co-movements; Covid-19 panic; ESG investments; Equity volatility; Hedge strategies; Wavelet time-frequency analyses.