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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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
Identification Number:
21 October 2023Accepted
23 October 2023Published Online
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

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