The impact of news on the volatility of ESG firms

Sabbaghi, Omid

doi:10.1016/j.gfj.2020.100570

Cited by 58 publications

(35 citation statements)

References 53 publications

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“…The presence of asymmetric response of volatility to positive and negative news/shock is highly significant for all indices. This result support the findings of Sabhaghi (2020). By reducing carbon emission and promoting sustainable investment helps the Indian economy to achieve sustainable development.…”

Section: Discussionsupporting

confidence: 88%

“…The risk-return and volatility analysis of ESG index and broad market index, Sudha (2015) found that return of sustainability index is better than the return of broad market index and the volatility of ESG is less than other indices. Empirical investigation of response of ESG firm to bad news and good news (Sabhaghi, 2020) support the hypothesis that volatility of ESG firm is higher for bad news that good news and small sized ESG firm response to such news slower than large sized firms. A new diagnostic test of volatility asymmetry proposed by Engle and Ng (1993) provide new insight in to asymmetric volatility in the market.…”

Section: Sustainability Indicesmentioning

confidence: 71%

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Carbon Reduction and Sustainable Investment: A Way to Sustainable Development

Neenu.¹,

Nishad²

2021

Energy Economics Letters

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The present empirically examines the impact of five variables, namely Economic level, Population-level, Urbanization level, Industry proportion, Fossil fuel energy consumption, and Methane emission on Carbon intensity in India. It also evaluates the volatility and impact of news on asymmetric volatility of sustainable indices in the Indian stock market, S&P BSE CARBONEX, S&P BSE GREENEX, and S&P BSE 100 ESG against S&P BSE SENSEX as poxy for the market index. The data for the study was collected from the World Bank Database and the official website of the Bombay Stock Exchange. The study used OLS regression to evaluate the impact of five variables on Carbon intensity and econometrics tools like GARCH and EGARCH to measure the volatility and impact of the news. The study found that Economic level, Fossil fuel energy consumption, Population-level, urbanization level, and Methane emission have a significant positive impact on carbon intensity. There is a negative relationship between economic level and carbon intensity. The volatility of SENSEX is higher than that of sustainability indices. The study found that there is an asymmetric impact of positive and negative news on stock volatility, as parameter γ is negative and significant for all indices. Contribution/ Originality:The study is very significant, as it provides new insight in to factors influencing carbon emission and the role of sustainable indices in the promotion of sustainable development in India. The findings of the study are important to investors, portfolio managers, financial advisers, and other stakeholders of the financial market interested in promoting sustainable investment.

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Section: Discussionsupporting

confidence: 88%

Section: Sustainability Indicesmentioning

confidence: 71%

Carbon Reduction and Sustainable Investment: A Way to Sustainable Development

Neenu.¹,

Nishad²

2021

Energy Economics Letters

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“…On this basis, Fixed effects of control industry. Sabbaghi [ 27 ] found that when negative news occurs, the volatility of stock prices of large-sized enterprises also increases significantly. However, Shakil [ 26 ] found in his study that enterprise size had no significant moderating effect on the relationship between ESG and stock price volatility.…”

Section: Methodsmentioning

confidence: 99%

“…And portfolio managers may invest in high achieving ESG firms to leverage the market volatility of their portfolio. Sabbaghi [ 27 ] using the Morgan Stanley Capital International (MSCI) indices as proxies for ESG test assets, this study investigates volatility risk for the highest ESG-rated firms through an empirical analysis in assessing how good news and bad news impact the risk of ESG firms. The analysis provides empirical evidence in support of the hypothesis that the impact of news on the volatility of ESG firms is larger for bad news, compared to good news.…”

Section: Literature Reviewmentioning

confidence: 99%

ESG Performance and Stock Price Volatility in Public Health Crisis: Evidence from COVID-19 Pandemic

Zhou

2021

IJERPH

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Unlike traditional financial crises, COVID-19 is a global public health crisis with a significant negative impact on the global economy. Meanwhile, the stock market has been hit hard, and corporate share prices have become more volatile. However, the stock prices of some enterprises with good performance of ESG (Environment, Social, and Governance) are relatively stable in the epidemic. This paper selects ESG rating data from MSCI (Morgan Stanley Capital International) with better differentiation, adopts multiple regression and dummy variables, and adopts the Differences-in-Differences (DID)model with the help of COVID-19, an exogenous event. Empirical test the impact of ESG performance on the company’s stock price fluctuations. The results show that the stock price volatility of companies with good ESG performance is lower than that of companies with poor performance. Second, COVID-19 exacerbates volatility in company stock prices, but the increase in stock price volatility of companies with good ESG performance is small. That is, good ESG performance helps reduce the increase in stock price volatility due to COVID-19 shock, and plays a role in enhancing “resilience” and stabilizing stock prices. This paper provides new empirical evidence for the study of ESG performance and corporate stock price volatility, and puts forward relevant policy recommendations for enterprises and government departments.

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“…A different relation between firms' environmental responsibility and financial performance is found in Semenova and Hassel (2008), where a positive impact on stock returns is only detected for firms belonging to low-environmental-risk sectors, such as banking and insurance. Sabbaghi (2020) shows that the volatility of SRI portfolios is more affected by bad news, compared to good news.…”

Section: Literature Reviewmentioning

confidence: 99%

Responsible investments reduce market risks

Morelli

D’Ecclesia

2021

Decisions Econ Finan

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Responsible investments are considered one of the driving factors of revenues growth enhancing risk-adjusted returns. This paper investigates the effects of responsible investments on the volatility of European stock returns. First, we exploit an expectation-maximization (E-M) algorithm to cluster the companies into two groups according to the Environmental score (E), used as a proxy for responsible investments. Second, we build one global minimum variance (GMV) portfolio within each group and estimate its volatility using ARCH-type models. Finally, we forecast well-known risk measures such as the value-at-risk (VaR) and the expected tail loss (ETL) to assess market risks for investing green. Responsible portfolios composed of stocks with high E score outperform their Low E counterparts and are shown to be safer choices to mitigate risks, especially during periods of market distress. The results are remarkable for many sectors.

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The impact of news on the volatility of ESG firms

Cited by 58 publications

References 53 publications

Carbon Reduction and Sustainable Investment: A Way to Sustainable Development

Carbon Reduction and Sustainable Investment: A Way to Sustainable Development

ESG Performance and Stock Price Volatility in Public Health Crisis: Evidence from COVID-19 Pandemic

Responsible investments reduce market risks

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