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Has sustainable investing made an impact in the period of COVID-19?: evidence from Australian exchange traded funds

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  • Lan Sun
  • Garrick Small

Abstract

We study the impact of sustainability on the financial performance of exchange-traded funds (ETFs) in the period of COVID-19. Using a sample of 244 Australian ETFs rated by Morningstar in April 2020, we conducted the portfolio analysis and cross-sectional regression analysis, and the results show that ETF portfolios with lower carbon risk and fossil fuel exposure tend to outperform. However, ETF portfolios with higher social risk tend to deliver a better performance. We also find that ETF portfolios with high environmental risk, governance risk, carbon risk and fossil fuel exposure are more likely to experience high volatility in stock returns. The findings will serve as an important point of reference for investors, businesses and wider stakeholders. The sustainable investing is proving to be resilient during the COVID-19 and a closer look at ESG risks is a lens through which business leaders can build better and more resilient enterprises.

Suggested Citation

  • Lan Sun & Garrick Small, 2022. "Has sustainable investing made an impact in the period of COVID-19?: evidence from Australian exchange traded funds," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 12(1), pages 251-273, January.
    • Handle: RePEc:taf:jsustf:v:12:y:2022:i:1:p:251-273
    DOI: 10.1080/20430795.2021.1977577
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    Cited by:

    1. Marszk, Adam & Lechman, Ewa, 2024. "What drives sustainable investing? Adoption determinants of sustainable investing exchange-traded funds in Europe," Structural Change and Economic Dynamics, Elsevier, vol. 69(C), pages 63-82.
    2. Riccardo Savio & Edoardo D’Andrassi & Francesca Ventimiglia, 2023. "A Systematic Literature Review on ESG during the COVID-19 Pandemic," Sustainability, MDPI, vol. 15(3), pages 1-17, January.

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