Are ESG indexes a safe-haven or hedging asset? Evidence from the COVID-19 pandemic in China

Piserà, Stefano; Chiappini, Helen

doi:10.1108/ijoem-07-2021-1018

Cited by 17 publications

(9 citation statements)

References 80 publications

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“…However, this relationship does not serve as a safe haven. Similarly, Piserà and Chiappini (2024) did not find sustainable stock to be a safe haven. In addition, crude oil prices positively affect clean energy stocks (Ghosh 2022).…”

Section: Gold and Crude Oil Prices Effects On Sustainable Stockmentioning

confidence: 97%

“…Sustainable stocks are negatively affected by EPU and VIX (Shaikh 2022;Naeem et al 2023), while they are positively affected by gold and crude oil prices (Darsono et al 2022). Besides the limited studies on the effect of GPR on sustainable stocks, Taera et al (2023) indicate that sustainable stock bears a lower risk during high GPR and acted as a safe haven during COVID-19 (Rubbaniy et al 2022), while Piserà and Chiappini (2024) explained that sustainable stocks are not safe havens, as they have a positive relationship with the stock market. A study by Tang et al (2023) on financial assets, which is similar to sustainable stocks, concluded that GPR has a negative effect on green bonds.…”

Section: Introductionmentioning

confidence: 99%

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Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

Nittayakamolphun,

Bejrananda,

Pholkerd

2024

JRFM

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The increase in global economic policy uncertainty (EPU), volatility or stock market uncertainty (VIX), and geopolitical risk (GPR) has affected gold prices (GD), crude oil prices (WTI), and stock markets, which present challenges for investors. Sustainable stock investments in emerging markets may minimize and diversify investor risk. We applied the non-linear autoregressive distributed lag (NARDL) model to examine the effects of EPU, VIX, GPR, GD, and WTI on sustainable stocks in seven emerging markets (Thailand, Malaysia, Indonesia, Brazil, South Africa, Taiwan, and South Korea) from January 2012 to June 2023. EPU, VIX, GPR, GD, and WTI showed non-linear cointegration with sustainable stocks in seven emerging markets and possessed different asymmetric effects in the short and long run. Change in EPU increases the return of Thailand’s sustainable stock in the long run. The long-run GPR only affects the return of Indonesian sustainable stock. All sustainable stocks are negatively affected by the VIX and positively affected by GD in the short and long run. Additionally, long-run WTI negatively affects the return of Indonesia’s sustainable stocks. Our findings contribute to rational investment decisions on sustainable stocks, including gold and crude oil prices, to hedge the asymmetric effect of uncertainty.

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Section: Gold and Crude Oil Prices Effects On Sustainable Stockmentioning

confidence: 97%

Section: Introductionmentioning

confidence: 99%

Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

Nittayakamolphun,

Bejrananda,

Pholkerd

2024

JRFM

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“…These statistics indicate a positive response of the corporate sector towards the concerns of the various stakeholders. Recent studies consider countries rating towards ESG disclosures and creating the countries index (Singhania and Saini, 2022;Piser a and Chiappini, 2022). Alodat et al (2023) considered global reporting initiative based reporting index that identifies companies with good sustainability practices.…”

Section: Environmental Sustainabilitymentioning

confidence: 99%

Cross-country comparative trend analysis in ESG regulatory framework across developed and developing nations

Singhania,

Saini,

Shri

et al. 2023

MEQ

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PurposeThe purpose of this paper is to compare environmental, social and governance (ESG) disclosures regulatory frameworks in developed and developing countries, identifying similarities, differences and trends to contribute to effective and sustainable practices globally.Design/methodology/approachDescriptive research design compares ESG frameworks in developed and developing countries. It reviews literature, collects data, analyzes differences and categorizes countries based on ESG development stages. Implications, recommendations and an analytical ESG table are explored and validated.FindingsThe study's findings have significant implications for practice, society and research. The categorization of 28 countries into four ESG framework development stages facilitates strategic implementation and improved decision-making aligned with sustainability reporting.Research limitations/implicationsThe study's findings will support regulators, policymakers and institutional investors in bridging the sustainability gap. By categorizing countries based on their ESG framework development stages, the study aims to provide benchmark practices for countries in the early stages of ESG disclosure. This will address information asymmetry issues and facilitate the establishment of resilient business operations and reporting practices. Ultimately, the study promotes long-term social and economic well-being by strengthening emerging sustainable practices.Originality/valueTo the best of the authors' knowledge, this study represents a novel contribution to the existing literature by analyzing the varying levels of development in the ESG policy framework across countries. It fills a gap in current research by providing a comprehensive assessment of the ESG landscape and highlighting the disparities and advancements in different countries. This study aims to shed light on the state of ESG policies and practices globally, providing valuable insights for future research and policy development in the field.

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“…We employ the MSCI ESG Leaders’ indices comprising the companies that have the highest ESG performance in these markets. It is worth noting that the MSCI ESG Leaders’ databases are vastly used by diverse researchers investigating the ESG role and impacts and, hence, the selection of the MSCI ESG Leaders’ indices for our research is thoroughly supported by the literature; see e.g., [ 3 , 4 , 22 , 23 ]. Being interested in the long-term sustainability agenda, and not in the intraday and daily trading of ESG positions, we study the performance of the ESG investments through the prism of time-varying capital gains (CGS) [ 24 , 25 ] and Sharpe ratios [ 26 ] for diverse investment horizons.…”

Section: Introductionmentioning

confidence: 99%

“…Our findings have implications for portfolio managers and policy makers. The positive attitude towards ESG investing results in positive returns, allowing for the mitigation of common financial risk by tailor-made hedge strategies, either for hedging climate and social risks [ 37 ] or for reducing the financial uncertainty of investment results as ESG instruments present safe-haven and hedging-asset features [ 23 ]. The ESG investments offer an alternative investment solution to withstand adverse timing and market behaviors.…”

Section: Introductionmentioning

confidence: 99%

For whom does it pay to be a moral capitalist? Sustainability of corporate financial performance of ESG investment

et al. 2023

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This paper analyzes the risk-return characteristics of socially responsible investing by employing a time-varying capital gain and Sharpe ratio analysis for various investment horizons. We employ the MSCI ESG (environmental, social and governance) leaders indices in ten markets encompassing Australia, Canada, Europe, Japan, UK, USA, China, India, Russia, and South Africa. Our sample ranges from 2007–2020. We document that ESG investments have very desirable return and hedging attributes for investors in these markets, and especially so in the USA and emerging markets.

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Are ESG indexes a safe-haven or hedging asset? Evidence from the COVID-19 pandemic in China

Cited by 17 publications

References 80 publications

Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

Cross-country comparative trend analysis in ESG regulatory framework across developed and developing nations

For whom does it pay to be a moral capitalist? Sustainability of corporate financial performance of ESG investment

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