Demystifying the dynamic relationship between news sentiment index and ESG stocks: Evidence from time-frequency wavelet analysis

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2024-11-01 DOI:10.1016/j.irfa.2024.103698

Imran Yousaf , Azza Bejaoui , Shoaib Ali , Yanshuang Li

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Abstract

Using the Time-Frequency Wavelet Analysis, this study investigates the dynamic connectedness between the News Sentiment Index (NSI) and ESG leader indices of developed countries. The empirical findings clearly show nontrivial dynamic comovements between NSI and the ESG indices and the existence of the ESG market volatility in different frequency scales. We also report some discrepancies in cross-linkage patterns among different countries. In particular, such associations for some countries (e.g., Australia and the United Kingdom) are negative, with the leading role of the ESG index against market risk due to high fluctuations in sentiments. These findings suggest that ESG stocks possess potential hedging and diversifying features and safe-haven attributes against market risk driven by negative sentiment during the outbreak of Black Swan events. Our empirical results have insightful implications for investors, portfolio managers, and policymakers.

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解读新闻情绪指数与 ESG 股票之间的动态关系：时间频率小波分析的证据

本研究利用时频小波分析法，研究了发达国家新闻情绪指数（NSI）与ESG领导者指数之间的动态关联性。实证研究结果清楚地表明，NSI 与 ESG 指数之间存在非线性的动态关联，而且 ESG 市场波动在不同频率范围内都存在。我们还报告了不同国家之间交叉联系模式的一些差异。特别是，一些国家（如澳大利亚和英国）的这种关联是负面的，ESG 指数在情绪波动较大的情况下对市场风险起着主导作用。这些研究结果表明，在黑天鹅事件爆发时，ESG 股票具有潜在的对冲和分散功能以及避险属性，可以抵御负面情绪导致的市场风险。我们的实证结果对投资者、投资组合经理和政策制定者具有深刻的启示。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.