Can ESG Stocks Be a Safe Haven during Global Crises? Evidence from the COVID-19 Pandemic and the Russia-Ukraine War with Time-Frequency Wavelet Analysis

Ioannis Katsampoxakis (), Stylianos Xanthopoulos, Charalampos Basdekis and Apostolos G. Christopoulos ()
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Ioannis Katsampoxakis: Department of Statistics and Actuarial Financial Mathematics, University of the Aegean, 83200 Samos, Greece
Stylianos Xanthopoulos: Department of Statistics and Actuarial Financial Mathematics, University of the Aegean, 83200 Samos, Greece
Charalampos Basdekis: Department of Tourism Management, Hellenic Open University, 26335 Patras, Greece
Apostolos G. Christopoulos: Department of Business Administration, University of the Aegean, 82132 Chios, Greece

Economies, 2024, vol. 12, issue 4, 1-20

Abstract: In times of intense economic variability and social turbulence worldwide, this paper aims to examine the existence of transient correlations and interdependencies between the most important MSCI ESG indices worldwide and the most important commodities’ index, economic uncertainty, natural gas, gold, and VIX, in a geographical and social context during two recent crises: the COVID-19 pandemic and the energy crisis due to the Ukrainian war. Using daily data from 3 January 2020 and extending until 23 August 2022, this study applies a wavelet coherence approach to analyze time series co-movements, in order to emphasize all possible combinations’ correlations and achieve more accurate outcomes at any given time and frequency band simultaneously and spontaneously. The results show robust coherence between different geographical areas, time, and frequency bands, indicating both positive and negative correlations with most of the combined ESG indices and other economic indicators. The study suggests that stock indices of leading ESG companies in North America and Europe constitute a safe investment haven during major upheavals and crises, providing a way for investors to manage risk and generate positive returns while contributing to economic sustainability.

Keywords: COVID-19; energy crisis; ESG stocks; sustainability; wavelet coherence; social cohesion (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (3)

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