IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v70y2024ics1544612324013102.html
   My bibliography  Save this article

Corporate ESG indices and stability during periods of deep concerns in financial markets

Author

Listed:
  • Janik, Bogna
  • Płuciennik, Piotr

Abstract

This study analyzes the dynamics of the high ESG-score companies' returns reflected in socially responsible indices selected from the FTSE4Good family across the European market during the COVID-19 Pandemic and war in Ukraine. The dynamics of these changes were assessed through the conditional variance derived from Markov Switching ARCH-type models with two regimes. The findings indicate that the effect of market disturbances on the high ESG-score companies from the FTSE4Good Europe index was slightly less persistent than the broad market. Meanwhile, the high ESG-score companies from the FTSE4Good UK index demonstrated similar behavior to their conventional peer, which may be attributed to the composition of the respective index.

Suggested Citation

  • Janik, Bogna & Płuciennik, Piotr, 2024. "Corporate ESG indices and stability during periods of deep concerns in financial markets," Finance Research Letters, Elsevier, vol. 70(C).
    • Handle: RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013102
    DOI: 10.1016/j.frl.2024.106281
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1544612324013102
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.frl.2024.106281?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013102. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.