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The impact of ESG news on the volatility of the Portuguese stock market
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Orientador(es)
Resumo(s)
This paper assesses how environmental, social, and governance (ESG) news influence Portuguese stock market volatility depending on the business cycle. Given the lack of an adequate index to capture the effects of ESG media on the Portuguese stock market, a News Sentiment Index is developed. This index, which captures positive and negative ESG news on companies listed in the Portuguese Stock Index (PSI-20), is then used as an external regressor in symmetric and asymmetric GARCH-type models employed to model the stock market volatility. Results show that during non-crisis periods ESG news reduce returns' volatility, and that when considering the period preceding the financial crisis the disclosure content (positive or negative) of the news matter. However, during economic downturns, neither the amount nor the content disclosure of ESG news affect volatility; thus, ESG preoccupations might no longer be paramount.
Descrição
Publisher Copyright:
© 2023 The Authors. Business Strategy and The Environment published by ERP Environment and John Wiley & Sons Ltd.
Palavras-chave
business cycle ESG GARCH PSI-20 stock returns volatility Business and International Management Geography, Planning and Development Strategy and Management Management, Monitoring, Policy and Law SDG 10 - Reduced Inequalities