Testing the Resilience of CSR Stocks during the COVID-19 Crisis: A Transcontinental Analysis

María del Carmen Valls Martínez and Pedro Antonio Martín Cervantes
Additional contact information
María del Carmen Valls Martínez: Department of Economics and Business, University of Almería, La Cañada de San Urbano, 04120 Almería, Spain
Pedro Antonio Martín Cervantes: Department of Economics and Business, University of Almería, La Cañada de San Urbano, 04120 Almería, Spain

Mathematics, 2021, vol. 9, issue 5, 1-24

Abstract: Investors and practitioners are increasingly concerned with financial assets within the scope of corporate social responsibility (CSR) meaning that, in recent times, such assets have become enshrined in the preferences of the new generations of investors and consumers. Just when the interest of investors was at its highest, SARS-CoV-2 (COVID-19) affected all international financial markets, so that, at first sight, it might seem that the financial assets assigned to CSR should have suffered collapses that were identical to the rest; however, our work shows the opposite, providing a comparative analysis of how the pandemic has affected the financial markets of each continent to demonstrate its outstanding resilience through the use of the Wavelets methodology. We analyzed the global impact of the registered cases of COVID-19 on the Dow Jones Sustainability World Index (DJSWI), the world’s leading indicator of sustainable companies, in addition to six other financial indices selected from each continent. The empirical results of this research show that the worldwide repercussions of the sudden outbreak of SARS-CoV-2 has had a substantially smaller effect on sustainability-related indices compared to the other considered indices. Similarly, the methodology employed allowed the establishment of a chronogram with details of the dating of COVID-19 expansion through the considered countries, a certain gradation in terms of the impact of the pandemic on these stock indices, and certain common guidelines describing their devastating effects on each of the financial markets represented by the indices in this research.

Keywords: Wavelets analysis; Morlet wavelet; frequency-domain; comovements; decomposition; COVID-19; 2020 stock market crash; CSR; international financial markets (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7390/9/5/514/pdf (application/pdf)
https://www.mdpi.com/2227-7390/9/5/514/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:9:y:2021:i:5:p:514-:d:508811

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().