Investment certainty in ESG investing due to COVID-19: evidence from India
by Peeyush Bangur; Ruchi Bangur; Pratima Jain; Abhikrati Shukla
International Journal of Sustainable Economy (IJSE), Vol. 14, No. 4, 2022

Abstract: This article analyses the impact of COVID-19 on the volatility of ESG investing in India. Furthermore, it assesses the investment certainty in ESG related activities in India after detecting the first case of disease. A generalised autoregressive conditional heteroscedasticity model has been applied to the S&P BSE 100 ESG Index returns. The results show that after COVID-19, the risk related to the market price of the S&P BSE 100 ESG Index has increased, and the certainty of investment decreased. Further, the result of the GARCH (1, 1) model estimation indicates the presence of a large degree of persistency in the S&P BSE 100 ESG index. In addition, after reporting the first case of COVID-19, unconditional variance has been increased by 211.98%.

Online publication date: Wed, 05-Oct-2022

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