TY - JOUR
T1 - Comparing asymmetric price efficiency in regional ESG markets before and during COVID-19
AU - Naeem, Muhammad Abubakr
AU - Yousaf, Imran
AU - Karim, Sitara
AU - Tiwari, Aviral Kumar
AU - Farid, Saqib
N1 - Publisher Copyright:
© 2022 Elsevier B.V.
PY - 2023/1
Y1 - 2023/1
N2 - The ever-emerging environmental, social, and governance (ESG) concerns have received significant attention of policymakers, governments, regulation bodies, and investors. Considering the markets volatilities due to economic and financial uncertainties that can drive the informational price inefficiencies across the markets, this study compares the asymmetric price efficiency of regional ESG markets by using an asymmetric multifractal detrended fluctuation analysis before and during COVID-19 crisis. We then examine whether global factors influence the asymmetric efficiency of regional ESG markets. Our findings reveal that COVID-19 outbreak reduced the efficiency of regional ESG markets, except for Europe, which sustained its efficiency even during the pandemic. Moreover, global factors drive the efficiency of regional ESG markets significantly before and during COVID-19. A major implication of our findings stems from the fact that a contagion reduces the efficiency of the markets while stable economic conditions make those markets informationally efficient.
AB - The ever-emerging environmental, social, and governance (ESG) concerns have received significant attention of policymakers, governments, regulation bodies, and investors. Considering the markets volatilities due to economic and financial uncertainties that can drive the informational price inefficiencies across the markets, this study compares the asymmetric price efficiency of regional ESG markets by using an asymmetric multifractal detrended fluctuation analysis before and during COVID-19 crisis. We then examine whether global factors influence the asymmetric efficiency of regional ESG markets. Our findings reveal that COVID-19 outbreak reduced the efficiency of regional ESG markets, except for Europe, which sustained its efficiency even during the pandemic. Moreover, global factors drive the efficiency of regional ESG markets significantly before and during COVID-19. A major implication of our findings stems from the fact that a contagion reduces the efficiency of the markets while stable economic conditions make those markets informationally efficient.
KW - Asymmetry
KW - COVID-19
KW - ESG indexes
KW - Global factors
KW - Price efficiency
UR - http://www.scopus.com/inward/record.url?scp=85141265305&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85141265305&partnerID=8YFLogxK
U2 - 10.1016/j.econmod.2022.106095
DO - 10.1016/j.econmod.2022.106095
M3 - Article
AN - SCOPUS:85141265305
SN - 0264-9993
VL - 118
JO - Economic Modelling
JF - Economic Modelling
M1 - 106095
ER -