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Investigating the impact of ESG ratings on ETF performance during market disruptions: Evidence from the COVID-19 pandemic and Russian (full-scale) invasion of Ukraine

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  • Supatgiat, Chonawee
  • Phiromswad, Piyachart
  • Sahin, Olgun Fuat
  • Sarajoti, Pattarake

Abstract

This paper is the first to examine the impact of Environmental, Social, and Governance (ESG) factors on price jumps in exchange-traded funds (ETFs) during significant market disruptions, specifically the COVID-19 pandemic and the Russian (full-scale) invasion of Ukraine. Using high-frequency data from 205 ETFs spanning 2018–2023, we analyze how varying ESG ratings influence market behavior, including price jumps, returns, and volatility. By applying the Barndorff-Nielsen and Shephard (BNS) test, along with MinRV and MedRV estimators, we detect price jumps and assess their characteristics. Our findings reveal that high ESG-rated ETFs exhibit lower volatility, smaller price jumps, and higher or comparable returns compared to low ESG-rated ETFs, particularly during crises. These results suggest that ESG factors have a stabilizing effect, reducing vulnerability to extreme market movements. This study contributes to the existing literature by providing insights into the role of ESG factors in mitigating risk and enhancing portfolio resilience in volatile environments.

Suggested Citation

  • Supatgiat, Chonawee & Phiromswad, Piyachart & Sahin, Olgun Fuat & Sarajoti, Pattarake, 2025. "Investigating the impact of ESG ratings on ETF performance during market disruptions: Evidence from the COVID-19 pandemic and Russian (full-scale) invasion of Ukraine," Research in International Business and Finance, Elsevier, vol. 77(PA).
    • Handle: RePEc:eee:riibaf:v:77:y:2025:i:pa:s0275531925001606
    DOI: 10.1016/j.ribaf.2025.102904
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