Are ESG Stocks Safe-Haven during COVID-19?

24 Pages Posted: 5 Feb 2021 Last revised: 11 Apr 2021

See all articles by Ghulame Rubbaniy

Ghulame Rubbaniy

Zayed University - College of Business

Ali Awais Khalid

University of Lahore (UOL) - Lahore Business School

Aristeidis Samitas

Zayed University

Shoaib Ali

Air University - Islamabad

Date Written: February 4, 2021

Abstract

This study contributes to the debate on safe-haven characteristics of environmental, social, and governance (ESG) stocks during COVID-19 pandemic. Using wavelet coherence framework on four major ESG stock indices from global and emerging stock markets, and two proxies of COVID-19 fear over the period from February 5th, 2020, to March 18th, 2021, we find a strong and positive co-movement between health fear index of COVID-19 and returns on ESG stocks suggesting the existence of safe-haven properties in ESG stocks. However, we also observe a negative co-movement between stock market base proxy of COVID-19 and returns on ESG indices, suggesting that safe-haven properties of ESG stocks are contingent upon the proxy of COVID-19 pandemic. Our findings are of particular interest for the investors and asset managers who may use ESG stocks to diversify their portfolios during health crisis due to COVID-19 pandemic.

Keywords: ESG stocks, COVID-19, Safe-haven, Wavelet coherence, Global fear index, Infectious disease equity market volatility index

JEL Classification: G11, G15, M14

Suggested Citation

Rubbaniy, Ghulame and Khalid, Ali Awais and Samitas, Aristeidis and Ali, Shoaib, Are ESG Stocks Safe-Haven during COVID-19? (February 4, 2021). Available at SSRN: https://ssrn.com/abstract=3779430 or http://dx.doi.org/10.2139/ssrn.3779430

Ghulame Rubbaniy (Contact Author)

Zayed University - College of Business ( email )

Zayed University
P.O. Box 144534
Abu Dhabi
United Arab Emirates

Ali Awais Khalid

University of Lahore (UOL) - Lahore Business School ( email )

1-KM Bopatian Chowk, Defence Road
Lahore, Punjab 54000
Pakistan

Aristeidis Samitas

Zayed University ( email )

P.O. Box 4783
Abu Dhabi
United Arab Emirates

Shoaib Ali

Air University - Islamabad ( email )

Service Road E-9
Islamabad, 44000
Pakistan

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