The impact of ESG news on the volatility of the Portuguese stock market

Detalhes bibliográficos
Autor(a) principal: Zanatto, Cássio
Data de Publicação: 2023
Outros Autores: Catalão-Lopes, Margarida, Pina, Joaquim P., Carrilho-Nunes, Inês
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/154981
Resumo: Publisher Copyright: © 2023 The Authors. Business Strategy and The Environment published by ERP Environment and John Wiley & Sons Ltd.
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spelling The impact of ESG news on the volatility of the Portuguese stock marketDoes it change during recessions?business cycleESGGARCHPSI-20stock returns volatilityBusiness and International ManagementGeography, Planning and DevelopmentStrategy and ManagementManagement, Monitoring, Policy and LawSDG 10 - Reduced InequalitiesPublisher Copyright: © 2023 The Authors. Business Strategy and The Environment published by ERP Environment and John Wiley & Sons Ltd.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.DCSA - Departamento de Ciências Sociais AplicadasMARE - Centro de Ciências do Mar e do AmbienteRUNZanatto, CássioCatalão-Lopes, MargaridaPina, Joaquim P.Carrilho-Nunes, Inês2023-07-07T22:17:58Z2023-122023-12-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article12application/pdfhttp://hdl.handle.net/10362/154981eng0964-4733PURE: 65454877https://doi.org/10.1002/bse.3450info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:37:30Zoai:run.unl.pt:10362/154981Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:55:52.960161Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The impact of ESG news on the volatility of the Portuguese stock market
Does it change during recessions?
title The impact of ESG news on the volatility of the Portuguese stock market
spellingShingle The impact of ESG news on the volatility of the Portuguese stock market
Zanatto, Cássio
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
title_short The impact of ESG news on the volatility of the Portuguese stock market
title_full The impact of ESG news on the volatility of the Portuguese stock market
title_fullStr The impact of ESG news on the volatility of the Portuguese stock market
title_full_unstemmed The impact of ESG news on the volatility of the Portuguese stock market
title_sort The impact of ESG news on the volatility of the Portuguese stock market
author Zanatto, Cássio
author_facet Zanatto, Cássio
Catalão-Lopes, Margarida
Pina, Joaquim P.
Carrilho-Nunes, Inês
author_role author
author2 Catalão-Lopes, Margarida
Pina, Joaquim P.
Carrilho-Nunes, Inês
author2_role author
author
author
dc.contributor.none.fl_str_mv DCSA - Departamento de Ciências Sociais Aplicadas
MARE - Centro de Ciências do Mar e do Ambiente
RUN
dc.contributor.author.fl_str_mv Zanatto, Cássio
Catalão-Lopes, Margarida
Pina, Joaquim P.
Carrilho-Nunes, Inês
dc.subject.por.fl_str_mv 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
topic 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
description Publisher Copyright: © 2023 The Authors. Business Strategy and The Environment published by ERP Environment and John Wiley & Sons Ltd.
publishDate 2023
dc.date.none.fl_str_mv 2023-07-07T22:17:58Z
2023-12
2023-12-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/154981
url http://hdl.handle.net/10362/154981
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0964-4733
PURE: 65454877
https://doi.org/10.1002/bse.3450
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 12
application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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