ESG and economic policy uncertainty: A wavelet application
Shrestha, Keshab and Naysary, Babak (2023) ESG and economic policy uncertainty: A wavelet application. Finance Research Letters, 58 (D). p. 104645. ISSN 1544-6123
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Official URL: https://www.sciencedirect.com/science/article/pii/...
Abstract
In this study, we examine the relationship between country-level EPU and MSCI ESG Leaders for the US and the UK using wavelet coherence analysis and daily data. We find a significant negative relationship between ESG indices and EPU. However, the existence of the significant negative relationship depends on certain time scales and dates. For both countries, the ESG indices lead the EPU in general. However, for certain time scales and dates, EPU leads the ESG indices.
| Item Type: | Article | ||||||
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| Identification Number: | https://doi.org/10.1016/j.frl.2023.104645 | ||||||
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| Uncontrolled Keywords: | ESG leaders, Economic policy uncertainty, Wavelet coherence | ||||||
| Subjects: | CAH17 - business and management > CAH17-01 - business and management > CAH17-01-07 - finance | ||||||
| Divisions: | Faculty of Business, Law and Social Sciences > Birmingham City Business School | ||||||
| Depositing User: | Babak Naysary | ||||||
| Date Deposited: | 24 Jan 2024 10:44 | ||||||
| Last Modified: | 24 Jan 2024 10:44 | ||||||
| URI: | https://www.open-access.bcu.ac.uk/id/eprint/15152 |
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