Sustainable investment and the COVID-19 effect - volatility analysis of ESG index
by Narinder Pal Singh; Priya Makhija; Elizabeth Chacko
International Journal of Sustainable Economy (IJSE), Vol. 13, No. 4, 2021

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.

Online publication date: Fri, 29-Oct-2021

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Sustainable Economy (IJSE):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com