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

Authors: Narinder Pal Singh; Priya Makhija; Elizabeth Chacko

Addresses: Jagan Institute of Management Studies, 3, Institutional Area, Rohini Sector 5, Delhi, India ' Center for Management Studies, Jain University, Bangalore, India ' Center for Management Studies, Jain University, Bangalore, India

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.

Keywords: sustainable investment; ESG index volatility; COVID-19; EGARCH model; Indian stock market.

DOI: 10.1504/IJSE.2021.118620

International Journal of Sustainable Economy, 2021 Vol.13 No.4, pp.357 - 368

Received: 12 Feb 2021
Accepted: 20 Mar 2021
Published online: 29 Oct 2021 *

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