ESG investments, bear periods and adaptive resilience: Evidence from India using a DBEKK MGARCH (Record no. 525583)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01473nam a22001457a 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 240322b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Nain, M.D.Z., Bhat, S.A. and Bhat, J.A. |
| 245 ## - TITLE STATEMENT | |
| Title | ESG investments, bear periods and adaptive resilience: Evidence from India using a DBEKK MGARCH |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | Journal of Social and Economic Development |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 25(1), Dec, 2023: p.5-21 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | In the present study, we compare the adaptive resilience of market benchmark and ESG compliance indices in case of the Indian economy using the daily data on NIFTY100ESG and NIFTY100 for the period 1st April 2011 to 13th January 2022. Incorporating a Multivariate Generalized Autoregressive Conditional Heteroskedasticity, we find that positive average excess return of NIFTY100ESG is slightly higher than its counterpart NIFTY100. The contribution of return own shocks to respective short-run conditional volatility is higher than its own volatility, and own volatility long-run persistence is greater than the short-run persistence. Moreover, the contribution of bad news toward volatility reduction is more pronouncing in case of NIFTY100ESG. Finally, we find that ESG investments have more adaptive resilience compared to traditional benchmarks investments. – Reproduced https://link.springer.com/article/10.1007/s40847-023-00273-w |
| 773 ## - HOST ITEM ENTRY | |
| Main entry heading | Journal of Social and Economic Development |
| 906 ## - LOCAL DATA ELEMENT F, LDF (RLIN) | |
| Subject DIP | ECONOMIC DEVELOPMENT - INDIA |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Item type | Articles |
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