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

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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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          Financial markets under the global pandemic of COVID-19

          Dayong Zhang, Min Hu, Qiang Ji (2020)
          Highlights • The COVID-19 pandemic has significant impacts on global financial markets. • Substantial increases of volatility are found in global markets due to the outbreak. • Global stock markets linkages display clear different patterns before and after the pandemic announcement. • Policy responses may create further uncertainties in the global financial markets.
          Article 0 comments Cited 666 times – based on 0 reviews     Review now
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            COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach

            Arshian Sharif, Chaker Aloui, Larisa Yarovaya (2020)
            In this paper, we analyze the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework. The coherence wavelet method and the wavelet-based Granger causality tests applied to US recent daily data unveil the unprecedented impact of COVID-19 and oil price shocks on the geopolitical risk levels, economic policy uncertainty and stock market volatility over the low frequency bands. The effect of the COVID-19 on the geopolitical risk substantially higher than on the US economic uncertainty. The COVID-19 risk is perceived differently over the short and the long-run and may be firstly viewed as an economic crisis. Our study offers several urgent prominent implications and endorsements for policymakers and asset managers.
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              COVID-19 and finance: Agendas for future research

              John W. Goodell (2020)
              This paper highlights the enormous economic and social impact of COVID-19 with respect to articles that have either prognosticated such a large-scale event, and its economic consequences, or have assessed the impacts of other epidemics and pandemics. A consideration of possible impacts of COVID-19 on financial markets and institutions, either directly or indirectly, is briefly outlined by drawing on a variety of literatures. A consideration of the characteristics of COVID-19, along with what research suggests have been the impacts of other past events that in some ways roughly parallel COVID-19, points toward avenues of future investigation.
              Article 0 comments Cited 465 times – based on 0 reviews     Review now
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                Author and article information

                Journal
                Journal ID (nlm-ta): Res Int Bus Finance
                Journal ID (iso-abbrev): Res Int Bus Finance
                Title: Research in International Business and Finance
                Publisher: Elsevier B.V.
                ISSN (Print): 0275-5319
                ISSN (Electronic): 1878-3384
                Publication date PMC-release: 8 July 2021
                Publication date (Print): December 2021
                Publication date (Electronic): 8 July 2021
                Volume: 58
                Page: 101493
                Affiliations
                [a ]College of Business, Zayed University, P.O. Box 144534, Abu Dhabi, United Arab Emirates
                [b ]ISCAL – Lisbon Accounting and Business School, Instituto Politécnico de Lisboa, Av. Miguel Bombarda, 20, 1069-035 Lisbon, Portugal
                [c ]SOCIUS / CSG – Research in Social Sciences and Management, Rua Miguel Lupi, 20, 1249-078, Lisbon, Portugal
                [d ]Institute of Business Research, University of Economics Ho Chi Minh City, 59C Nguyen Dinh Chieu, District 3, Ho Chi Minh City, Viet Nam
                [e ]Centre for Financial Research & Data Analytics, National Research University Higher School of Economics / HSE University, Pokrovsky Blv. 11, 109028, Moscow, Russian Federation
                [f ]Institute of Business Research, University of Economics Ho Chi Minh City, Viet Nam
                [g ]National Research University Higher School of Economics / HSE University, Pokrovsky Blv. 11, 109028, Moscow, Russian Federation
                Author notes
                [* ]Corresponding author at: ISCAL – Lisbon Accounting and Business School, Instituto Politécnico de Lisboa, Av. Miguel Bombarda, 20, 1069-035, Lisbon, Portugal.
                Article
                Publisher Item ID: S0275-5319(21)00114-8 Publisher ID: 101493
                DOI: 10.1016/j.ribaf.2021.101493
                PMC ID: 8427833
                PubMed ID: 34518718
                SO-VID: 1d6885ba-36d2-46f3-863f-971e9413a6c0
                Copyright © © 2021 Elsevier B.V. All rights reserved.
                License:

                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.

                History
                Date received : 2 July 2020
                Date revision received : 30 June 2021
                Date accepted : 2 July 2021
                Categories
                Subject: Article

                Keywords: covid-19 panic,wavelet time-frequency analyses,esg investments,hedge strategies,equity volatility,co-movements
                Data availability:
                Keywords: covid-19 panic, wavelet time-frequency analyses, esg investments, hedge strategies, equity volatility, co-movements

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