Does commitment to environment and society pays? Evidence from COVID-19 impact on stock volatility

Nishi Sharma, Arshdeep Kaur and Shailika Rawat

Vilakshan - XIMB Journal of Management, 2022, vol. 20, issue 2, 302-312

Abstract: Purpose - This study aims to analyse whether investment in green and sustainable stocks provide some cushion during current precarious time. To compare the impact of COVID-19 on the volatility of sustainable and market-capitalisation-based stocks, daily returns from Greenex, Carbonex, Large-Cap, Mid-Cap and Small-Cap index have been analysed over a period of six years from 2015 to 2021. Design/methodology/approach - At the outset, logarithmic return of all selected indices has been tested for possible unit root and heteroscedastic. On confirmation of stationarity and heteroscedasticity of data, auto-regressive conditional heteroscedastic models have been applied. Thereafter, volatility is modelled through best suitable model as suggested by Akaike and Schwarz information criterions. Findings - The findings indicate the positive impact of COVID-19 on the volatility of the indices. Asymmetric power ARCH model indicates highest significant impact of COVID-19 over the volatility of Large-Cap index, whereas exponential GARCH model detected highest significant impact of COVID-19 over the volatility of Mid-Cap Index. Originality/value - To the best of the authors’ knowledge, the present study is original in the sense that it aimed at comparing the possible impact of COVID-19 over sustainable and market-capitalisation-based indices.

Keywords: ARCH-based models; COVID-19; Market-Capitalisation-based indices; Sustainable indices and volatility (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eme:xjmpps:xjm-08-2021-0213

DOI: 10.1108/XJM-08-2021-0213

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