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

Publication dates
Authors	Akhtaruzzaman, 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.
Keywords	COVID–19; ESG leaders; financial contagion; media coverage index; TVP–VAR
Year	2022
Journal	Finance Research Letters
Journal citation	45, p. Article 102170
Publisher	Elsevier Inc.
ISSN	1544-6123
Digital Object Identifier (DOI)	https://doi.org/10.1016/j.frl.2021.102170
PubMed ID	35221818
Scopus EID	2-s2.0-85108525262
PubMed Central ID	PMC8856890
Page range	1-9
Publisher's version	License All rights reserved File Access Level Controlled
Output status	Published
Online	25 May 2021
Publication process dates
Accepted	21 May 2021
Deposited	12 May 2023

Permalink -

https://acuresearchbank.acu.edu.au/item/8z032/covid-19-media-coverage-and-esg-leader-indices

Restricted files

Publisher's version

(1 files)

42
total views
2
total downloads
0
views this month
0
downloads this month

These values are for the period from 19th October 2020, when this repository was created.

Export as

Related outputs

Using business simulation: An authentic learning experience for accounting students

Akhtaruzzaman, Md, Ahmadi, Hormoz, James, Wendy and Ghosh, Ratan. (2024). Using business simulation: An authentic learning experience for accounting students. Journal of Accounting Literature. pp. 1-11. https://doi.org/10.1108/JAL-06-2024-0137

Earnings management : the influence of peer group and the corporate governance intervention

Banerjee, Ameet Kumar, Akhtaruzzaman, Md and Chatterjee, Soumen. (2024). Earnings management : the influence of peer group and the corporate governance intervention. Journal of Accounting Literature. pp. 1-19. https://doi.org/10.1108/JAL-06-2023-0102

Board demographic, structural, and capital diversity, and corporate carbon performance : International evidence

Mehedi, Sohel, Akhtaruzzaman, Md and Zaman, Rashid. (2024). Board demographic, structural, and capital diversity, and corporate carbon performance : International evidence. Journal of Accounting Literature. pp. 1-24. https://doi.org/10.1108/JAL-05-2024-0104

Volatility spillovers and hedging strategies between impact investing and agricultural commodities

Banerjee, Ameet Kumar, Akhtaruzzaman, Md, Sensoy, Ahmet and Goodell, John W.. (2024). Volatility spillovers and hedging strategies between impact investing and agricultural commodities. International Review of Financial Analysis. 94, pp. 1-16. https://doi.org/10.1016/j.irfa.2024.103237

Hedging precious metals with impact investing

Akhtaruzzaman, Md, Banerjee, Ameet Kumar, Le, Van and Moussa, Faten. (2024). Hedging precious metals with impact investing. International Review of Economics and Finance. 89, pp. 651-664. https://doi.org/10.1016/j.iref.2023.07.047

Interconnectedness in the FOREX market during the high inflation regime : A network analysis

Ahmed, Shamima, Akhtaruzzaman, Md, Le, Van, Nath, Tamal and Rahman, Molla Ramizur. (2024). Interconnectedness in the FOREX market during the high inflation regime : A network analysis. Research in International Business and Finance. 71, pp. 1-13. https://doi.org/10.1016/j.ribaf.2024.102467

Board Flexibility in Diversity, Experienced CEOs and Corporate Sustainability Disclosure: Evidence from the Emerging Market

Mehedi, Sohel, Maniruzzaman, Md. and Akhtaruzzaman, Md. (2024). Board Flexibility in Diversity, Experienced CEOs and Corporate Sustainability Disclosure: Evidence from the Emerging Market. Global Journal of Flexible Systems Management. 25(2), pp. 261-282. https://doi.org/10.1007/s40171-024-00387-y

Anatomy of sovereign yield behaviour using textual news

Kumar Banerjee, Ameet, Pradhan, H.K., Akhtaruzzaman, Md, Sensoy, Ahmet and Dann, Susan Jean. (2024). Anatomy of sovereign yield behaviour using textual news. Research in International Business and Finance. 71, pp. 1-18. https://doi.org/10.1016/j.ribaf.2024.102458

Did the collapse of Silicon Valley Bank catalyze financial contagion?

Akhtaruzzaman, Md, Boubaker, Sabri and Goodell, John W.. (2023). Did the collapse of Silicon Valley Bank catalyze financial contagion? Finance Research Letters. 56, pp. 1-11. https://doi.org/10.1016/j.frl.2023.104082

Does green improve portfolio optimisation?

Akhtaruzzaman, Md, Banerjee, Ameet Kumar, Boubaker, Sabri and Moussa, Faten. (2023). Does green improve portfolio optimisation? Energy Economics. 124, pp. 1-10. https://doi.org/10.1016/j.eneco.2023.106831

Nonlinear nexus between cryptocurrency returns and COVID–19 COVID-19 news sentiment

Banerjee, Ameet Kumar, Akhtaruzzaman, Md, Dionisio, Andreia, Almeida, Dora and Sensoy, Ahmet. (2022). Nonlinear nexus between cryptocurrency returns and COVID–19 COVID-19 news sentiment. Journal of Behavioral and Experimental Finance. 36, p. Article 100747. https://doi.org/10.1016/j.jbef.2022.100747

Is greenness an optimal hedge for sectoral stock indices?

Akhtaruzzaman, Md, Banerjee, Ameet Kumar, Ghardallou, Wafa and Umar, Zaghum. (2022). Is greenness an optimal hedge for sectoral stock indices? Economic Modelling. 117, p. Article 106030. https://doi.org/10.1016/j.econmod.2022.106030

Systemic risk-sharing framework of cryptocurrencies in the COVID–19 crisis

Akhtaruzzaman, Md, Boubaker, Sabri, Nguyen, Duc Khuong and Rahman, Molla Ramizur. (2022). Systemic risk-sharing framework of cryptocurrencies in the COVID–19 crisis. Finance Research Letters. 47(Part B), p. Article 102787. https://doi.org/10.1016/j.frl.2022.102787

COVID-19 crisis and risk spillovers to developing economies : Evidence from Africa

Akhtaruzzaman, Md, Benkraiem, Ramzi, Boubaker, Sabri and Zopounidis, Constantin. (2022). COVID-19 crisis and risk spillovers to developing economies : Evidence from Africa. Journal of International Development. 34(4), pp. 898-918. https://doi.org/10.1002/jid.3634

Betting against bank profitability

Akhtaruzzaman, Md, Chiah, Mardy, Docherty, Paul and Zhong, Angel. (2021). Betting against bank profitability. Journal of Economic Behavior and Organization. 192, pp. 304-323. https://doi.org/10.1016/j.jebo.2021.10.012

Is China a source of financial contagion?

Akhtaruzzaman, Md, Abdel-Qader, Waleed, Hammami, Helmi and Shams, Syed. (2021). Is China a source of financial contagion? Finance Research Letters. 38, p. Article 101393. https://doi.org/10.1016/j.frl.2019.101393

Financial contagion during COVID–19 crisis

Akhtaruzzaman, Md, Boubaker, Sabri and Sensoy, Ahmet. (2021). Financial contagion during COVID–19 crisis. Finance Research Letters. 38, p. Article 101604. https://doi.org/10.1016/j.frl.2020.101604

Carbon disclosure, carbon performance and financial performance : International evidence

Siddique, Md Abubakar, Akhtaruzzaman, Md, Rashid, Afzalur and Hammami, Helmi. (2021). Carbon disclosure, carbon performance and financial performance : International evidence. International Review of Financial Analysis. 75(Article 101734). https://doi.org/10.1016/j.irfa.2021.101734

COVID–19 and oil price risk exposure

Akhtaruzzaman, Md, Boubaker, Sabri, Chiah, Mardy and Zhong, Angel. (2021). COVID–19 and oil price risk exposure. Finance Research Letters. 42, p. Article 101882. https://doi.org/10.1016/j.frl.2020.101882

The influence of Bitcoin on portfolio diversification and design

Akhtaruzzaman, Md, Sensoy, Ahmet and Corbet, Shaen. (2020). The influence of Bitcoin on portfolio diversification and design. Finance Research Letters. 37, p. 101344. https://doi.org/10.1016/j.frl.2019.101344

Expropriation risk and FDI in developing countries: Does return of capital dominate return on capital?

Akhtaruzzaman, M., Berg, Nathan and Hajzler, Christopher. (2017). Expropriation risk and FDI in developing countries: Does return of capital dominate return on capital? European Journal of Political Economy. 49, pp. 84 - 107. https://doi.org/10.1016/j.ejpoleco.2017.01.001

International contagion through financial versus non-financial firms

Akhtaruzzaman, Md and Shamsuddin, Abul. (2016). International contagion through financial versus non-financial firms. Economic Modelling. https://doi.org/10.1016/j.econmod.2016.07.003

Australian financial firms' exposures to the level, slope, and curvature of the interest rate term structure

Akhtaruzzaman, Md and Shamsuddin, Abul. (2016). Australian financial firms' exposures to the level, slope, and curvature of the interest rate term structure. Applied Economics. https://doi.org/10.1080/00036846.2016.1229411

Interest rate, size and book-to-market effects in Australian financial firms

Akhtaruzzaman, Md, Docherty, Paul and Shamsuddin, Abul. (2014). Interest rate, size and book-to-market effects in Australian financial firms. Applied Economics. https://doi.org/10.1080/00036846.2014.920478

Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms

Akhtaruzzaman, Md, Shamsuddin, Abul and Easton, Steve. (2014). Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms. Journal of International Financial Markets, Institutions and Money. https://doi.org/10.1016/j.intfin.2014.04.006