Published Online:January 2025
Product Name:The IUP Journal of Applied Economics
Product Type:Article
Product Code:IJAE050125
DOI:10.71329/IUPJAE/2025.16.1.96-110
Author Name:Satish Kumar, Devinder Sharma and Vishal Kaushal
Availability:YES
Subject/Domain:Economics
Download Format:PDF
Pages:96-110
Environmental, social, and governance (ESG) investing has emerged as a significant strategy, gaining considerable attention in recent years. The study investigates the return and volatility of BSE 100 ESG index over the pre-, during-, and post-Covid- 19 periods, using daily closing prices from January 1, 2018 to December 31, 2023, with 1,485 observations. GARCH and EGARCH models are employed to assess the behavior of returns and volatility across these three periods. The findings of GARCH model exhibit highest volatility persistence in post-Covid-19 period, while those of EGARCH model indicate the highest volatility persistence during the Covid-19 period. The EGARCH model further confirms the presence of a leverage effect, where negative news had a more pronounced impact on volatility than positive news. The EGARCH model provides a superior fit for capturing volatility dynamics in the index, highlighting its effectiveness in modeling asymmetric shocks. Its implications are crucial for investors seeking enhanced risk management and portfolio diversification strategies and for policymakers aiming to stabilize market conditions and bolster investor confidence in ESG-orientated investments during periods of market uncertainty.
Environmental, social, and governance (ESG) investing has become a prominent strategy, attracting significant attention in recent years. This approach emphasizes non-financial factors, including a company’s environmental footprint, treatment of employees, and governance practices.