Does commitment to environment and society pays? Evidence from COVID-19 impact on stock volatility

Abstract

Purpose This study aims to analyse whether investment in green and sustainable stocks provide some cushion during current precarious time. To compare the impact of COVID-19 on the volatility of sustainable and market-capitalisation-based stocks, daily returns from Greenex, Carbonex, Large-Cap, Mid-Cap and Small-Cap index have been analysed over a period of six years from 2015 to 2021. Design/methodology/approach At the outset, logarithmic return of all selected indices has been tested for possible unit root and heteroscedastic. On confirmation of stationarity and heteroscedasticity of data, auto-regressive conditional heteroscedastic models have been applied. Thereafter, volatility is modelled through best suitable model as suggested by Akaike and Schwarz information criterions. Findings The findings indicate the positive impact of COVID-19 on the volatility of the indices. Asymmetric power ARCH model indicates highest significant impact of COVID-19 over the volatility of Large-Cap index, whereas exponential GARCH model detected highest significant impact of COVID-19 over the volatility of Mid-Cap Index. Originality/value To the best of the authors’ knowledge, the present study is original in the sense that it aimed at comparing the possible impact of COVID-19 over sustainable and market-capitalisation-based indices.

Game Publication and Influence on Stock Price

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Predictive modeling of return volatility in sustainable investments: An in-depth analysis of ARIMA, GARCH, and ARCH techniques

“…They suggested the methodology offers a fresh method for gathering pertinent data from online user behavior to create practical predictors for predicting stock return volatility. A study on the impact of COVID-19 on stock volatility by Sharma et al (2022) found that COVID-19 has the greatest significant impact on the volatility of the large-cap index, according to the asymmetric power ARCH model, whereas COVID-19 has the greatest significant impact on the volatility of the mid-cap index, according to the exponential GARCH model. The recent study by Huang (2022) reported, the time series analysis approach is used to confirm the benefits and drawbacks of the prior model by comparing the historical value of the stock open price with the fitting value in addition to a number of other basic preparations for building the best model.…”

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