Do Socially Responsible Indices Outperform the Market During Black Swan Events: Evidence from Indian Markets During Global Financial and COVID-19 Crises

This paper aims to examine and compare the effect of black swan events on the performance of companies with strong Environmental, Social, and (Corporate) Governance (ESG) backgrounds with that of other companies. Compared to established firms, companies with ESG backgrounds are perceived to be stabl...

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Bibliographic Details
Published in:Australasian accounting, business & finance journal business & finance journal, 2022-01, Vol.16 (5), p.19-37
Main Authors: Deshmukh, Pranay, Sharma, Dipasha
Format: Article
Language:English
Subjects:
arch
Black swan event
carbonex
Climate change
Coronaviruses
COVID-19
Crises
esg
garch
greenex
International finance
Investment policy
Investments
Medical research
Mindfulness
Portfolio management
Principles
sensex
Social investing
Social responsibility
socially responsible investing
Stochastic models
Stock exchanges
Student's t-test
Volatility
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Summary:This paper aims to examine and compare the effect of black swan events on the performance of companies with strong Environmental, Social, and (Corporate) Governance (ESG) backgrounds with that of other companies. Compared to established firms, companies with ESG backgrounds are perceived to be stable that will help them outperform established companies that are volatile during times of crisis. This research focuses on SENSEX for conventional market index and BSE GREEENEX and S&P BSE CARBONEX for ESG indices. We evaluated performances of the three indices during U.S. Debt Ceiling Crisis (201112), Black Monday China, BREXIT and Demonetization (2015-16), and COVID-19 (2020) crisis. We checked whether ESG indices outperformed conventional index significantly using Student's T-test. We have also compared the volatility of the three indices during the different black swan periods using the GARCH model.
ISSN:1834-2019
1834-2000
1834-2019
DOI:10.14453/aabfj.v16i5.03