`Made in USA´ Financial Contagion on ESG Indexes: Analysis of Higher Order Moments During the Pandemic

Abstract

This paper investigates the presence of financial contagion on ESG indexes during the COVID-19 pandemic crisis. Using higher-order moment tests, we examine contagion from the US ESG index to some other markets in all five world regions. Not only do we corroborate the thesis that extreme-dependence tests capture more efficiently the presence of contagion, but we also investigate the shifts in the coskewness and cokurtosis from the pre-crisis to the crisis period and observe that some markets seemed to have become a lot riskier than others, with findings that can be helpful to portfolio construction, hedging and management.

Keywords: Coskewness, Cokurtosis, Financial Contagion, Hedging, COVID-19