IDEAS home Printed from https://ideas.repec.org/a/spr/jsecdv/v25y2023i1d10.1007_s40847-023-00273-w.html
   My bibliography  Save this article

ESG investments, bear periods and adaptive resilience: evidence from India using a DBEKK‑MGARCH

Author

Listed:
  • Md Zulquar Nain

    (Aligarh Muslim University (AMU))

  • Sajad Ahmad Bhat

    (University of Kashmir)

  • Javed Ahmad Bhat

    (Indian Institute of Management)

Abstract

In the present study, we compare the adaptive resilience of market benchmark and ESG compliance indices in case of the Indian economy using the daily data on NIFTY100ESG and NIFTY100 for the period 1st April 2011 to 13th January 2022. Incorporating a Multivariate Generalized Autoregressive Conditional Heteroskedasticity, we find that positive average excess return of NIFTY100ESG is slightly higher than its counterpart NIFTY100. The contribution of return own shocks to respective short-run conditional volatility is higher than its own volatility, and own volatility long-run persistence is greater than the short-run persistence. Moreover, the contribution of bad news toward volatility reduction is more pronouncing in case of NIFTY100ESG. Finally, we find that ESG investments have more adaptive resilience compared to traditional benchmarks investments.

Suggested Citation

  • Md Zulquar Nain & Sajad Ahmad Bhat & Javed Ahmad Bhat, 2023. "ESG investments, bear periods and adaptive resilience: evidence from India using a DBEKK‑MGARCH," Journal of Social and Economic Development, Springer;Institute for Social and Economic Change, vol. 25(1), pages 5-21, December.
    • Handle: RePEc:spr:jsecdv:v:25:y:2023:i:1:d:10.1007_s40847-023-00273-w
    DOI: 10.1007/s40847-023-00273-w
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s40847-023-00273-w
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s40847-023-00273-w?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jsecdv:v:25:y:2023:i:1:d:10.1007_s40847-023-00273-w. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.