ESG investments, bear periods and adaptive resilience: evidence from India using a DBEKK‑MGARCH

Md Zulquar Nain (), Sajad Ahmad Bhat () and Javed Ahmad Bhat ()
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Md Zulquar Nain: Aligarh Muslim University (AMU)
Sajad Ahmad Bhat: University of Kashmir
Javed Ahmad Bhat: Indian Institute of Management

Journal of Social and Economic Development, 2023, vol. 25, issue 1, No 2, 5-21

Abstract: Abstract In the present study, we compare the adaptive resilience of market benchmark and ESG compliance indices in case of the Indian economy using the daily data on NIFTY100ESG and NIFTY100 for the period 1st April 2011 to 13th January 2022. Incorporating a Multivariate Generalized Autoregressive Conditional Heteroskedasticity, we find that positive average excess return of NIFTY100ESG is slightly higher than its counterpart NIFTY100. The contribution of return own shocks to respective short-run conditional volatility is higher than its own volatility, and own volatility long-run persistence is greater than the short-run persistence. Moreover, the contribution of bad news toward volatility reduction is more pronouncing in case of NIFTY100ESG. Finally, we find that ESG investments have more adaptive resilience compared to traditional benchmarks investments.

Keywords: Sustainable investment; Excess return; Risk; MGARCH; India (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s40847-023-00273-w

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