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Quantile connectedness between social network sentiment and sustainability index volatility: Evidence from the Moroccan financial market

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  • Oubani Ahmed El

    (National School of Business and Management, Moulay-Ismail University, PO Box 3102 Toulal, Meknes, Morocco)

Abstract

The goal of this paper is to investigate the connectedness between investor sentiment and volatility on the environmental, social, and governance index (ESG) in Morocco. Therefore, on the basis of an investor sentiment index constructed from the X platform, and using quantile and frequency connectedness approaches, the findings reveal a significant connectedness between sentiment and ESG volatility, particularly during turbulent events. Although sentiment acts most of the time as a net receiver of shocks, notably during the COVID-19 pandemic and geopolitical crises, it sometimes becomes a net sender of shocks. Furthermore, the spillovers between sentiment and ESG volatility are determined mainly by the long-term component, especially during extreme events, implying the persistence of shock transmission due to high uncertainty. The results also illustrate the impact of market conditions on the spillovers between sentiment and ESG volatility. The conclusions of this study provide useful guidance for pro-ESG investors, policymakers, and companies.

Suggested Citation

  • Oubani Ahmed El, 2024. "Quantile connectedness between social network sentiment and sustainability index volatility: Evidence from the Moroccan financial market," Economics and Business Review, Sciendo, vol. 10(3), pages 163-196.
    • Handle: RePEc:vrs:ecobur:v:10:y:2024:i:3:p:163-196:n:1003
    DOI: 10.18559/ebr.2024.3.1200
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    References listed on IDEAS

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    5. Sabbaghi, Omid, 2022. "The impact of news on the volatility of ESG firms," Global Finance Journal, Elsevier, vol. 51(C).
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    COVID-19; ESG; frequency spillovers; quantile connectedness; sustainability;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • N27 - Economic History - - Financial Markets and Institutions - - - Africa; Oceania
    • N57 - Economic History - - Agriculture, Natural Resources, Environment and Extractive Industries - - - Africa; Oceania

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