TY - JOUR
T1 - The impact of ESG news on the volatility of the Portuguese stock market
T2 - Does it change during recessions?
AU - Zanatto, Cássio
AU - Catalão-Lopes, Margarida
AU - Pina, Joaquim P.
AU - Carrilho-Nunes, Inês
N1 - info:eu-repo/grantAgreement/FCT/3599-PPCDT/2022.08870.PTDC/PT#
info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F00097%2F2020/PT#
info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/LA%2FP%2F0069%2F2020/PT#
info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F04292%2F2020/PT#
Publisher Copyright:
© 2023 The Authors. Business Strategy and The Environment published by ERP Environment and John Wiley & Sons Ltd.
PY - 2023/12
Y1 - 2023/12
N2 - 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.
AB - 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.
KW - business cycle
KW - ESG
KW - GARCH
KW - PSI-20
KW - stock returns volatility
UR - http://www.scopus.com/inward/record.url?scp=85159274703&partnerID=8YFLogxK
U2 - 10.1002/bse.3450
DO - 10.1002/bse.3450
M3 - Article
AN - SCOPUS:85159274703
SN - 0964-4733
VL - 32
SP - 5821
EP - 5832
JO - Business Strategy And The Environment
JF - Business Strategy And The Environment
IS - 8
ER -
