The Role of ESG Performance During Times of Financial Crisis: Evidence from COVID-19 in China

Broadstock, David C.; Chan, Kalok; Cheng, Louis T. W.; Wang, Xiao Wei

doi:10.2139/ssrn.3627439

Cited by 60 publications

(75 citation statements)

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“…In another respect, very little research has examined the degree to which sustainable financial instruments have reacted to the COVID‐19 pandemic. Broadstock et al (2021) have recently investigated the ESG performance against financial shocks during the COVID‐19 pandemic in China. Their findings showed that higher ESG portfolios had outperformed financial crises and reduced financial risks.…”

Section: A Literature Review and The Variable Selectionmentioning

confidence: 99%

The resilience of green firms in the twirl of COVID‐19: Evidence from S&P500 Carbon Efficiency Index with a Fourier approach

2021

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This paper investigates the resilience of environmentally friendly companies in an overwhelming economic and social environment that has been generated after the outbreak of the novel coronavirus disease (COVID‐19) pandemic. To this respect, we have investigated the cointegration between the Standard & Poor's (S&P) 500 Carbon Efficiency Index (CEI) with COVID‐19 cases, supplemented with covariates such as government response stringency to the pandemic, economic policy uncertainty, oil prices and global markets fluctuations. We have used daily data from 2nd January to 5th October 2020 and have employed a robust estimator within a Fourier approach to accommodate both sharp and smooth breaks. Our results suggest that green companies have been positively affected by the outbreak of COVID‐19. Our paper provides practical implications for companies that wish to furnish themselves with resilience during rough times and stakeholders who wish to invest in safe, long‐lasting returns.

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Section: A Literature Review and The Variable Selectionmentioning

confidence: 99%

The resilience of green firms in the twirl of COVID‐19: Evidence from S&P500 Carbon Efficiency Index with a Fourier approach

2021

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“…Lastly, since the Covid-19 pandemic started, fear and uncertainty have taken control in the financial markets ( Lyocsa and Molnar, 2020 ) where investors started panic trading ( Ortmann et al., 2020 ) and changed their economic behaviour ( Baker et al., 2020b ). Naturally, academics are still looking for strategies for risk management ( Ji, Zhang, Zhao, 2020 , Conlon, McGee, 2020 , Corbet, Larkin, Lucey, 2020 ) or assets that perform relatively better than others during the crisis period ( Broadstock et al., 2020 ). While these studies argue that Bitcoin do not act as hedge or safe haven during the pandemic period, and support the safe-haven role of gold during the same time, our findings provide an important implication for financial risk management by showing the diversification benefit of Bitcoin and UST bond during the alike Covid-19 crisis.…”

Section: Introductionmentioning

confidence: 99%

Covid-19 pandemic and tail-dependency networks of financial assets

Xuan

Nguyen

et al. 2021

Finance Research Letters

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Highlights We investigate the tail-dependency networks of 51 financial assets. The extreme quantile coherency is estimated using the quantile cross-spectral analysis and the tail-dependency network is built using the force-directed layout algorithm. The Covid-19 pandemic asymmetrically increases the network density, with stronger effects in the left-tail dependencie of asset returns. The cross-asset tail-dependency of equity, currency and commodity increases considerably, implying a higher degree of tail contagion effects. Bitcoin and US Treasury bonds are disconnected from both tail-dependency networks, suggesting their safe-haven characteristics.

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“… Ji et al., 2020 ) or building better risk management strategies (e.g. Broadstock et al., 2020 ). In this respect, our study can offer insightful implications for portfolio risk management by displaying the importance of social media in improving (or worsening) the diversification benefits during the alike Covid-19 health crisis.…”

Section: Introductionmentioning

confidence: 99%

A short-and long-term analysis of the nexus between Bitcoin, social media and Covid-19 outbreak

Béjaoui¹,

Mgadmi²,

Moussa³

et al. 2021

Heliyon

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In this paper, we attempt to analyze the dynamic interplay between Bitcoin, social media, and the Covid-19 health crisis. For this end, we apply the fractional autoregressive vector model, fractional error correction model and impulse response functions on daily data over the period 31/12/2019-30/10/2020. Our results clearly show the short- and long-term evidence of the nexus between the Bitcoin price, social media metrics (Tweets and Google Trends) and the intensity of the Covid-19 pandemic. As well, the Covid-19 pandemic does not impact on social media metrics in the short- and long-term. On the other hand, the Covid-19 pandemic positively affects social media metrics. Also, the Covid-19 pandemic encourages investing in digital currencies such as Bitcoin. So, the Covid-19 health crisis significantly influences social media networks and Bitcoin prices.

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The Role of ESG Performance During Times of Financial Crisis: Evidence from COVID-19 in China

Cited by 60 publications

References 0 publications

The resilience of green firms in the twirl of COVID‐19: Evidence from S&P500 Carbon Efficiency Index with a Fourier approach

The resilience of green firms in the twirl of COVID‐19: Evidence from S&P500 Carbon Efficiency Index with a Fourier approach

Covid-19 pandemic and tail-dependency networks of financial assets

A short-and long-term analysis of the nexus between Bitcoin, social media and Covid-19 outbreak

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