COVID–19 media coverage and ESG leader indices

Md Akhtaruzzaman, Sabri Boubaker and Zaghum Umar

Finance Research Letters, 2022, vol. 45, issue C

Abstract: 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.

Keywords: COVID–19; ESG leaders; Financial contagion; Media coverage index; TVP–VAR (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (11)

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Working Paper: COVID-19 Media Coverage and ESG Leader Indices (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002440

DOI: 10.1016/j.frl.2021.102170

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