Dynamic Interconnectedness of ESG Indices and Crude Oil Prices: A Wavelet Coherence Approach in Asia-Pacific Markets

IF 1.7 4区经济学 Q3 ECONOMICS

Australian Economic Papers Pub Date : 2025-01-30 DOI:10.1111/1467-8454.12392

Chandan Sharma, Priya Rani

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Abstract

This study examines the interconnectedness between crude oil prices and ESG (environmental, social, and governance) indices in major Asian economies, using wavelet coherence analysis to explore their dynamic co-movements. The analysis includes daily data from January 2019 to March 2024 for nine economy-specific ESG indices, an ASEAN regional ESG index, and the Dow Jones Brent Crude Oil Index. Wavelet coherence results reveal high coherence amidst ESG indices and the crude oil index during the COVID-19 pandemic, indicating a significant synchronized impact on global markets. Post-2020, the relationship becomes more variable, with intermittent coherence reflecting different phases of economic recovery and responses to new market conditions. Notably, ESG indices often lead crude oil prices, suggesting that they respond anticipatorily to economic signals, sustainability trends, and policy changes. The results highlight the complex and diverse relationships between oil prices and ESG indices. This underscores important implications for investors and policy-makers striving to balance sustainability goals with economic stability. By contributing to the understanding of regional market dynamics, this research offers valuable insights for developing resilient investment strategies and policies in the context of sustainable finance in Asia.

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亚太市场ESG指数与原油价格的动态关联：小波相干性方法

本研究考察了亚洲主要经济体中原油价格与ESG（环境、社会和治理）指数之间的相互联系，使用小波相干性分析来探索它们的动态协同运动。该分析包括2019年1月至2024年3月的9个特定经济体ESG指数、东盟地区ESG指数和道琼斯布伦特原油指数的每日数据。小波相干性结果显示，2019冠状病毒病大流行期间，ESG指数与原油指数高度相干，表明对全球市场的同步影响显著。2020年后，这种关系变得更加多变，断断续续的一致性反映了经济复苏的不同阶段和对新市场条件的反应。值得注意的是，ESG指数通常会引领原油价格，这表明它们会对经济信号、可持续性趋势和政策变化做出预期反应。结果表明，油价与ESG指数之间的关系复杂多样。这对努力平衡可持续性目标与经济稳定的投资者和决策者具有重要意义。通过促进对区域市场动态的理解，本研究为在亚洲可持续金融背景下制定弹性投资战略和政策提供了有价值的见解。

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

Australian Economic Papers ECONOMICS-

CiteScore

3.20

自引率

5.30%

发文量

期刊介绍： Australian Economic Papers publishes innovative and thought provoking contributions that extend the frontiers of the subject, written by leading international economists in theoretical, empirical and policy economics. Australian Economic Papers is a forum for debate between theorists, econometricians and policy analysts and covers an exceptionally wide range of topics on all the major fields of economics as well as: theoretical and empirical industrial organisation, theoretical and empirical labour economics and, macro and micro policy analysis.