COVID–19 media coverage and ESG leader indices

Journal article

Akhtaruzzaman, Md, Boubaker, Sabri and Umar, Zaghum. (2022). COVID–19 media coverage and ESG leader indices. Finance Research Letters. 45, p. Article 102170. https://doi.org/10.1016/j.frl.2021.102170
AuthorsAkhtaruzzaman, Md, Boubaker, Sabri and Umar, Zaghum
Abstract

This study examines the dynamic connectedness between COVID–19 media coverage index (MCI) and ESG leader indices. Our findings provide evidence that MCI plays a role in facilitating the transmission of contagion to advanced and emerging equity markets during the pandemic. The connectedness between MCI and ESG leader indices is more pronounced around March and April 2020 at the peak of the pandemic. The US is a net receiver of shocks reaffirming that it was the most affected country during the pandemic. Our results provide implications for investors, portfolio managers, and policymakers in mitigating financial risks during the pandemic.

KeywordsCOVID–19; ESG leaders; financial contagion; media coverage index; TVP–VAR
Year2022
JournalFinance Research Letters
Journal citation45, p. Article 102170
PublisherElsevier Inc.
ISSN1544-6123
Digital Object Identifier (DOI)https://doi.org/10.1016/j.frl.2021.102170
PubMed ID35221818
Scopus EID2-s2.0-85108525262
PubMed Central IDPMC8856890
Page range1-9
Publisher's version
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All rights reserved
File Access Level
Controlled
Output statusPublished
Publication dates
Online25 May 2021
Publication process dates
Accepted21 May 2021
Deposited12 May 2023
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