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Sustainable investment and the COVID-19 effect - volatility analysis of ESG index

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  • Narinder Pal Singh
  • Priya Makhija
  • Elizabeth Chacko

Abstract

COVID-19 has created a crisis situation where market volatility has increased. Due to this pandemic, investors have begun to put an emphasis on a company's long-term viability when it comes to investment decisions. Sustainable investment can be achieved through social objectives, i.e., by making an investment that takes environmental, social and governance (ESG) funds. Therefore, this research paper intends to investigate the effect of the COVID-19 pandemic on the Bombay Stock Exchange (BSE) ESG index volatility by using the EGARCH(1, 1, 1) model. The results of summary statistics depict that the average daily return and volatility of most of the currencies have increased during the COVID-19 crisis period. However, the EGARCH(1, 1, 1) model results demonstrate that there is no effect of pandemic on return and volatility of S%P ESG 100 index.

Suggested Citation

  • Narinder Pal Singh & Priya Makhija & Elizabeth Chacko, 2021. "Sustainable investment and the COVID-19 effect - volatility analysis of ESG index," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 13(4), pages 357-368.
    • Handle: RePEc:ids:ijsuse:v:13:y:2021:i:4:p:357-368
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    Cited by:

    1. Riccardo Savio & Edoardo D’Andrassi & Francesca Ventimiglia, 2023. "A Systematic Literature Review on ESG during the COVID-19 Pandemic," Sustainability, MDPI, vol. 15(3), pages 1-17, January.
    2. Miriam Sosa & Edgar Ortiz & Alejandra Cabello, 2022. "ESG Green Equity Finance Risk and Links in Mexico: Conditional Volatility and Markov Switching Vector Analyses," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(4), pages 1-21, Octubre -.

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