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Do top ranked ESG score countries provide diversification opportunities with global markets?

Author

Listed:
  • Sudhi Sharma
  • Neeraj Aswal
  • Reepu
  • Parul Bhatia
  • Shristi Jain
  • Vaibhav Aggarwal
  • Shashank Sharma

Abstract

The paper attempts to find diversification opportunities with Nordic countries with high environmental, social, and governance (ESG) scores and world and emerging indices. The study also identifies the resilient diversification opportunities in these countries during the pandemic. The study utilises daily-adjusted closing prices of the selected indices from March 11, 2018, to March 11, 2021, divided into pre-COVID and post-COVID windows. The time-varying connectedness-wavelet coherence model and network analysis capture the time-varying volatilities and analyse the interconnectedness between the indices. The results found that MSCI Emerging markets diversification opportunities are least impacted by the outbreak of the pandemic and thus, show more resilient diversification in comparison with MSCI World Index. It has been found that Iceland and Switzerland are the two indices that provide diversification with benchmark indices and captured diversification. Finally, Switzerland is providing resilient diversification opportunities with both benchmark indexes.

Suggested Citation

  • Sudhi Sharma & Neeraj Aswal & Reepu & Parul Bhatia & Shristi Jain & Vaibhav Aggarwal & Shashank Sharma, 2025. "Do top ranked ESG score countries provide diversification opportunities with global markets?," International Journal of Revenue Management, Inderscience Enterprises Ltd, vol. 15(1/2), pages 25-47.
    • Handle: RePEc:ids:ijrevm:v:15:y:2025:i:1/2:p:25-47
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