The relationship between the Covid-19 media coverage and the Environmental, Social and Governance leaders equity volatility: a time-frequency wavelet analysis

ABSTRACT

We apply wavelet analyses to study how the social media coverage of the Covid-19 pandemic influenced the volatility of ESG (Environmental, Social and Governance) leaders indices encompassing World, USA, Europe, China, and Emerging Markets. We document intervals of low, medium, and high coherence between the Media Coverage Index and the price moves of the ESG Leaders indices. The low coherence intervals indicate the diversification potential of ESG investments during a systemic pandemic such as Covid-19. We document differences in the pattern exhibited by various geographical indices evidencing their potential role for designing cross-geography hedge strategies.

KEYWORDS:

• Covid-19
• social media coverage
• wavelet coherence phase-difference
• ESG investments
• developed and Emerging markets

JEL CLASSIFICATION:

• C58
• F3
• F37
• G15

Acknowledgements

The second author thankfully acknowledges the financial support by the Portuguese national funding agency for science, research and technology (FCT), under the Project UID/SOC/04521/2020, and by the Instituto Politécnico de Lisboa as a part of the IPL/2020/MacroRates/ISCAL project.

Disclosure statement

No potential conflict of interest was reported by the authors.

Additional information

Funding

This work was supported by the Fundação para a Ciência e a Tecnologia [UID/SOC/04521/2020]; Instituto Politécnico de Lisboa [IPL/2020/MacroRates/ISCAL].