Has Sustainable Investing Made An Impact in the Period of COVID-19?: Evidence from Australian Exchange Traded Funds

Journal of Sustainable Finance & Investment 2021

28 Pages Posted: 24 Jan 2022

See all articles by Lan Sun

Lan Sun

CQUniversity (Australia)

Garrick Small

CQUniversity (Australia)

Date Written: January 20, 2021

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.

Keywords: Sustainable investing; ESG risks; carbon risk; fossil fuel; ETFs; COVID-19

JEL Classification: G14; G32; M14

Suggested Citation

Sun, Lan and Small, Garrick, Has Sustainable Investing Made An Impact in the Period of COVID-19?: Evidence from Australian Exchange Traded Funds (January 20, 2021). Journal of Sustainable Finance & Investment 2021, Available at SSRN: https://ssrn.com/abstract=4013157 or http://dx.doi.org/10.2139/ssrn.4013157

Lan Sun (Contact Author)

CQUniversity (Australia) ( email )

Australia

Garrick Small

CQUniversity (Australia) ( email )

Australia

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