The impact of ESG news on the volatility of the Portuguese stock market
Autor(a) principal: | |
---|---|
Data de Publicação: | 2023 |
Outros Autores: | , , |
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. |
id |
RCAP_4f7fd1f714d27407fa41ff953798ebc3 |
---|---|
oai_identifier_str |
oai:run.unl.pt:10362/154981 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
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 |
repository.mail.fl_str_mv |
|
_version_ |
1799138145201029120 |