ESG performance and corporate volatility: an empirical exploration in an emerging economy

Purpose - This study aims to investigate into the dynamic connection between ESG scores and the volatility term structure for Indian companies listed BSE. The study divides the BSE-100 listed companies into two panels based on their median ESG scores in 2022, creating high and low ESG scoring groups to capture volatility structure. Design/methodology/approach - The study employs time-varying symmetric and asymmetric GARCH models and followed by continuous Wavelet to capture volatility structure and explore comparative resilience behavior. Findings - The study found similar volatility patterns regardless of ESG scores, nudging doubt on the direct impact of ESG on volatility. Additionally, both high- and low-ESG-scored companies displayed high vulnerabilities during the pandemic, raising questions about the effectiveness of ESG frameworks in capturing risks. Finally, by examining the resilience behavior of ESG-scored companies during the pandemic, our study contributes to the evolving understanding of the intersection between ESG performance and crisis response. Practical implications - The study carries vital implications for investors and policymakers. It highlights the urgent need to strengthen the ESG framework and scores to shield investors from short- and long-term volatilities and economic vulnerabilities. Originality/value - To the best of the authors’ knowledge, this is the first study investigating the Indian market by examining the volatility structure and resilience behavior of high- and low-ESG-scored companies during the pandemic. Peer review - The peer review history for this article is available at:https://publons.com/publon/10.1108/IJSE-02-2024-0113