 Does market sentiment and global uncertainties influence ESG-oil nexus? A time-frequency analysisPurba Bhattacherjee, Sibanjan Mishra and Sang Hoon Kang Resources Policy, 2023, vol. 86, issue PA Abstract: This study investigates the influence of market sentiment and global uncertainties on the ESG-oil nexus for ten developed and eleven emerging countries from 4/1/2016 to 1/31/2023. Using bi-variate, partial and multiple wavelet coherence analysis, this study finds some insightful results: First, the ESG-oil nexus shows higher coherency, specifically during the health crisis period of COVID-19. Second, there is a diffusion of coherency between the networks, while controlling market sentiment (VIX and OVX) and global risks (EPU and OFR-FSI). Lastly, we find that the interaction effect of oil and uncertainties intensified the coherency. These results signal that market sentiment and global uncertainties are significant drivers influencing the ESG-oil nexus. The findings are important from a portfolio management and risk diversification perspective. Keywords: ESG; Wavelet coherence; Oil price; Economic political uncertainty; Financial stress index; Volatility index (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723008413 DOI: 10.1016/j.resourpol.2023.104130 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
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