Did COVID-19 challenge the volatility of the sustainable stock market? An examination of Asian market

The coronavirus outbreak at the end of 2019 hit many aspects of the financial sector, especially the stock market. This research examines the impacts of the COVID-19 pandemic, exchange rates, gold price, and the Brent oil price on the volatility of the Sustainable Stock Market in Asia. A quantitative research method is applied using average monthly panel data from March 2020 to April 2022, covering the COVID-19 pandemic period. We employed panel regressions and applied Feasible Generalized Least Square (FGLS) in the analysis, which also serves as a robustness check. This study contributes to the literature by examining the variables significantly impacting sustainable investing, particularly in the sustainable stock market. Empirical results find that COVID-19, gold price and the exchange rate have negatively affected sustainable stock market volatility, while the Brent oil price has a positive impact on the volatility of the sustainable stock market. This study's recommendations infer that both investors and managers should consider the increase of COVID-19 cases and frequency-varying exchange rates to the USD on the Asian sustainable stock market volatility.