Investment certainty in ESG investing due to COVID-19: evidence from India

Peeyush Bangur, Ruchi Bangur, Pratima Jain and Abhikrati Shukla

International Journal of Sustainable Economy, 2022, vol. 14, issue 4, 429-440

Abstract: This article analyses the impact of COVID-19 on the volatility of ESG investing in India. Furthermore, it assesses the investment certainty in ESG related activities in India after detecting the first case of disease. A generalised autoregressive conditional heteroscedasticity model has been applied to the S%P BSE 100 ESG Index returns. The results show that after COVID-19, the risk related to the market price of the S%P BSE 100 ESG Index has increased, and the certainty of investment decreased. Further, the result of the GARCH (1, 1) model estimation indicates the presence of a large degree of persistency in the S%P BSE 100 ESG index. In addition, after reporting the first case of COVID-19, unconditional variance has been increased by 211.98%.

Keywords: ESG investing; investment certainty; volatility; COVID-19; ARCH; GARCH; India. (search for similar items in EconPapers)
Date: 2022
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