Title: Investment certainty in ESG investing due to COVID-19: evidence from India

Authors: Peeyush Bangur; Ruchi Bangur; Pratima Jain; Abhikrati Shukla

Addresses: Women's Institute for Studies in Development Oriented Management (WISDOM), Banasthali Vidyapith in Banasthali, Rajasthan, India ' Women's Institute for Studies in Development Oriented Management (WISDOM), Banasthali Vidyapith in Banasthali, Rajasthan, India ' Prestige Institute of Management and Research, Indore (MP), India ' Shri Vaishnav Institute of Management, Indore (MP), India

Abstract: This article analyses the impact of COVID-19 on the volatility of ESG investing in India. Furthermore, it assesses the investment certainty in ESG related activities in India after detecting the first case of disease. A generalised autoregressive conditional heteroscedasticity model has been applied to the S&P BSE 100 ESG Index returns. The results show that after COVID-19, the risk related to the market price of the S&P BSE 100 ESG Index has increased, and the certainty of investment decreased. Further, the result of the GARCH (1, 1) model estimation indicates the presence of a large degree of persistency in the S&P BSE 100 ESG index. In addition, after reporting the first case of COVID-19, unconditional variance has been increased by 211.98%.

Keywords: ESG investing; investment certainty; volatility; COVID-19; ARCH; GARCH; India.

DOI: 10.1504/IJSE.2022.125986

International Journal of Sustainable Economy, 2022 Vol.14 No.4, pp.429 - 440

Received: 09 Sep 2021
Accepted: 20 Oct 2021
Published online: 05 Oct 2022 *

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