COVID-19 media coverage and ESG leader indices

被引：143

作者：

Akhtaruzzaman, Md ^{[1
,6
]}

Boubaker, Sabri ^{[2
,3
]}

Umar, Zaghum ^{[4
,5
]}

机构：

[1] Australian Catholic Univ, Peter Faber Business Sch, Sydney, NSW, Australia

[2] EM Normandie Business Sch, Metis Lab, Le Havre, France

[3] Vietnam Natl Univ, Int Sch, Hanoi, Vietnam

[4] Zayed Univ, Abu Dhabi, U Arab Emirates

[5] South Ural State Univ, Chelyabinsk, Russia

[6] UCB Capital Management Ltd, Dhaka, Bangladesh

来源：

FINANCE RESEARCH LETTERS | 2022年 / 45卷

关键词：

COVID-19; ESG leaders; Financial contagion; Media coverage index; TVP-VAR; IMPULSE-RESPONSE ANALYSIS; VOLATILITY SPILLOVERS; STOCK; CONNECTEDNESS; SENTIMENT; NETWORKS;

D O I：

10.1016/j.frl.2021.102170

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines the dynamic connectedness between COVID-19 media coverage index (MCI) and ESG leader indices. Our findings provide evidence that MCI plays a role in facilitating the transmission of contagion to advanced and emerging equity markets during the pandemic. The connectedness between MCI and ESG leader indices is more pronounced around March and April 2020 at the peak of the pandemic. The US is a net receiver of shocks reaffirming that it was the most affected country during the pandemic. Our results provide implications for investors, portfolio managers, and policymakers in mitigating financial risks during the pandemic.

引用

页数：9

共 47 条

[1] How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques [J].