Corporate ESG indices and stability during periods of deep concerns in financial markets

Bogna Janik and Piotr Płuciennik

Finance Research Letters, 2024, vol. 70, issue C

Abstract: This study analyzes the dynamics of the high ESG-score companies' returns reflected in socially responsible indices selected from the FTSE4Good family across the European market during the COVID-19 Pandemic and war in Ukraine. The dynamics of these changes were assessed through the conditional variance derived from Markov Switching ARCH-type models with two regimes. The findings indicate that the effect of market disturbances on the high ESG-score companies from the FTSE4Good Europe index was slightly less persistent than the broad market. Meanwhile, the high ESG-score companies from the FTSE4Good UK index demonstrated similar behavior to their conventional peer, which may be attributed to the composition of the respective index.

Keywords: Socially responsible indices; ESG companies risk; GARCH models; Markov Switching Models (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013102

DOI: 10.1016/j.frl.2024.106281

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