ESG and economic policy uncertainty: A wavelet application

被引：2
|
作者：
Shrestha, Keshab [1 ]
Naysary, Babak [2 ,3 ]
机构：
[1] Sunway Univ, Business Sch, Bandar Sunway, Malaysia
[2] Birmingham City Univ, Business Sch, Birmingham, England
[3] Birmingham City Univ, Business Sch, 15 Bartholomew Row, Birmingham B5 5JU, England
来源：
FINANCE RESEARCH LETTERS | 2023年 / 58卷
关键词：
ESG leaders; Economic policy uncertainty; Wavelet coherence; SENTIMENT; PRICE;
D O I：
10.1016/j.frl.2023.104645
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this study, we examine the relationship between country-level EPU and MSCI ESG Leaders for the US and the UK using wavelet coherence analysis and daily data. We find a significant negative relationship between ESG indices and EPU. However, the existence of the significant negative relationship depends on certain time scales and dates. For both countries, the ESG indices lead the EPU in general. However, for certain time scales and dates, EPU leads the ESG indices.
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收藏
页数：5
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