The relationship between the Covid-19 media coverage and the Environmental, Social and Governance leaders equity volatility: a time-frequency wavelet analysis

Abstract

We apply wavelet analyses to study how the social media coverage of the Covid-19 pandemic influenced the volatility of ESG (Environmental, Social and Governance) leaders indices encompassing World, USA, Europe, China, and Emerging Markets. We document intervals of low, medium, and high coherence between the Media Coverage Index and the price moves of the ESG Leaders indices. The low coherence intervals indicate the diversification potential of ESG investments during a systemic pandemic such as Covid-19. We document differences in the pattern exhibited by various geographical indices evidencing their potential role for designing cross-geography hedge strategies.

The impact of the Covid-19 related media coverage upon the five major developing markets

“…Following this strand of literature, we build our investigation on several previous studies based on wavelet analysis [30,36,57,[59][60][61]. The time-frequency wavelet-based analysis is employed herein for studying the influence of the pandemic-related news coverage upon the shapes of the governmental yield term structures of the BRICS.…”

“…In parallel [66], apply a wavelet-coupled random vector functional link network to forecast coronavirus spreading in the five worst-affected states, namely, Federative Republic of Brazil, Republic of India, Republic of Peru, Russian federation, and the United States of America. It is also worth mentioning few recent applications of wavelet technique to study the pandemic impacts upon capital markets: [30,33,60,67,68], and the references therein.…”

“…The third attractive feature of the followed by us approach is related to the capacity of the wave let methodology to provide relevant findings, especially so in reference to time-limited data-series, as in the case of the relatively short Covid-19-concerned time-spans of data. Wrapping-up, the above addressed characteristics of the wave let technique certify it as a robust scientific method, widely used to study coherence patterns brought about by jointly analyzed diverse arrays of data [33,59,60,73]. Herein, we follow the wavelet-based approach to investigate lead and lag interrelations of the variations in levels of the pandemic media coverage and shaped of the yield curves of five major developing countries.…”

Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis

“…Financial markets worldwide have been severely affected by the global pandemic of Covid-19 ( Al-Awadi et al, 2020 ; Goodell John, 2020 ; Iqbal et al, 2020 ; Umar et al, 2020c ; Sharif et al, 2020 ; Zhang et al, 2020 ; Goodell, 2021 ; Akhtaruzzaman et al, 2021 ; Umar and Gubareva, 2021 ). As a consequence of such a huge global impact, the literature on the financial effects of Covid–19 has witnessed a rapid expansion ( Baker et al, 2020 ; Conlon and McGee, 2020 ; Conlon et al, 2020 ; Okorie and Lin, 2020 ; Umar et al, 2021 ; Ramelli and Wagner, 2020 ; Zaremba et al, 2021 ; Umar and Gubareva, 2021a ).…”

“…Consequently, we have seen the emergence of new assets such as Islamic finance assets and Environmental, Social, and Governance (ESG) securities. Several studies have analyzed the return and volatility attributes of these assets ( Umar et al, 2018 ; Alda, 2019 ; Umar et al, 2020b ; Wong et al, 2020 ; Umar and Gubareva, 2021 ; and Umar and Gubareva, 2021a ).…”