Comparing asymmetric price efficiency in regional ESG markets before and during COVID-19

Muhammad Abubakr Naeem; Imran Yousaf; Sitara Karim; Aviral Kumar Tiwari; Saqib Farid

doi:10.1016/j.econmod.2022.106095

Comparing asymmetric price efficiency in regional ESG markets before and during COVID-19

Econ Model. 2023 Jan:118:106095. doi: 10.1016/j.econmod.2022.106095. Epub 2022 Oct 28.

Authors

Muhammad Abubakr Naeem^{1

2}, Imran Yousaf³, Sitara Karim⁴, Aviral Kumar Tiwari^{5

6}, Saqib Farid⁷

Affiliations

¹ Accounting and Finance Department, United Arab Emirates University, P.O. Box 15551, Al-Ain, United Arab Emirates.
² South Ural State University, Lenin Prospect 76, Chelyabinsk 454080, Russian Federation.
³ College of Business and Public Management, Wenzhou-Kean University, China.
⁴ Nottingham University Business School, University of Nottingham, Malaysia.
⁵ Indian Institute of Management Bodh Gaya (IIM Bodh Gaya), Bodh Gaya, 824234, Bihar, India.
⁶ Rajagiri Business School, Rajagiri Valley Campus, Kochi, India.
⁷ Dr Hasan Murad School of Management, University of Management and Technology, Lahore, Pakistan.

Abstract

The ever-emerging environmental, social, and governance (ESG) concerns have received significant attention of policymakers, governments, regulation bodies, and investors. Considering the markets volatilities due to economic and financial uncertainties that can drive the informational price inefficiencies across the markets, this study compares the asymmetric price efficiency of regional ESG markets by using an asymmetric multifractal detrended fluctuation analysis before and during COVID-19 crisis. We then examine whether global factors influence the asymmetric efficiency of regional ESG markets. Our findings reveal that COVID-19 outbreak reduced the efficiency of regional ESG markets, except for Europe, which sustained its efficiency even during the pandemic. Moreover, global factors drive the efficiency of regional ESG markets significantly before and during COVID-19. A major implication of our findings stems from the fact that a contagion reduces the efficiency of the markets while stable economic conditions make those markets informationally efficient.

Keywords: Asymmetry; COVID-19; ESG indexes; Global factors; Price efficiency.