COVID-19 media coverage and ESG leader indices

Abstract

This study examines the dynamic connectedness between COVID-19 media coverage index (MCI) and ESG leader indices. Our findings provide evidence that MCI plays a role in facilitating the transmission of contagion to advanced and emerging equity markets during the pandemic. The connectedness between MCI and ESG leader indices is more pronounced around March and April 2020 at the peak of the pandemic. The US is a net receiver of shocks reaffirming that it was the most affected country during the pandemic. Our results provide implications for investors, portfolio managers, and policymakers in mitigating financial risks during the pandemic.

Keywords: COVID–19; ESG leaders; Financial contagion; Media coverage index; TVP–VAR.

Fig. 1

Volatility of ESG leader indices and MCI.Note: The figure shows the volatility of the ESG leaders indices and the media coverage index.

Fig. 2

Average pairwise connectedness of the system. Note: The figure shows the average net pairwise directional connectedness of each pair: the volatility of ESG leader indices and the MCI. The base of the edge indicates the source of spillover, and the head of the edge shows the recipient of the spillover.

Fig. 3

Dynamic total net connectedness. Note: The results are based on a TVP-VAR model with a lag length of order one and a 10 step-ahead generalised forecast error variance decomposition.

Fig. 4

Net total directional connectedness. Note: The figure shows the time-varying net directional connectedness of the volatility of ESG leader indices and the MCI.

Fig. 5

Net pairwise directional. Note: The figure shows the time-varying net pairwise directional connectedness between the volatility of ESG leader indices and the MCI.