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Are ESG indexes a safe-haven or hedging asset? Evidence from the COVID-19 pandemic in China

Author

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  • Stefano Piserà
  • Helen Chiappini

Abstract

Purpose - The aim of the paper is to investigate the risk-hedging and/or safe haven properties of environmental, social and governance (ESG) index during the COVID-19 in China. Design/methodology/approach - This paper employs the DCC, VCC, CCC as well as Newey–West estimator regression. Findings - The findings provide empirical evidence of the risk hedging properties of ESG indexes as well as of the environmental, social and governance thematic indexes during the outbreak of the COVID-19 crisis. The results also support the superior risk hedging properties of ESG indexes over cryptocurrency. However, the authors do not find any safe haven properties of ESG, Bitcoin, gold and West Texas Intermediate (WTI). Practical implications - The paper offers therefore, practical policy implications for asset managers, central bankers and investors suggesting the pandemic risk-hedging opportunities of ESG investments. Originality/value - The study represents one of the first empirical contributions examining safe-haven and hedging properties of ESG indexes compared to traditional and innovative safe haven assets, during the eruption of the COVID-19 crisis.

Suggested Citation

  • Stefano Piserà & Helen Chiappini, 2022. "Are ESG indexes a safe-haven or hedging asset? Evidence from the COVID-19 pandemic in China," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 19(1), pages 56-75, May.
    • Handle: RePEc:eme:ijoemp:ijoem-07-2021-1018
    DOI: 10.1108/IJOEM-07-2021-1018
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    Citations

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    Cited by:

    1. Trotta, Annarita & Rania, Francesco & Strano, Eugenia, 2024. "Exploring the linkages between FinTech and ESG: A bibliometric perspective," Research in International Business and Finance, Elsevier, vol. 69(C).
    2. Piserà, Stefano, 2024. "Hidden effects of Brexit," Research in International Business and Finance, Elsevier, vol. 67(PB).
    3. Goodell, John W. & Gurdgiev, Constantin & Paltrinieri, Andrea & Piserà, Stefano, 2024. "Do price caps assist monetary authorities to control inflation? Examining the impact of the natural gas price cap on TTF spikes," Energy Economics, Elsevier, vol. 131(C).

    More about this item

    Keywords

    ESG indexes; Bitcoin; COVID-19; Safe-haven investments; Risk hedging; G14; G11; Q56;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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