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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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: | 10.1016/j.frl.2023.104645 |
Dates: | Date Event 21 October 2023 Accepted 23 October 2023 Published 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 > College of Accountancy, Finance and Economics Faculty of Business, Law and Social Sciences > College of Business, Digital Transformation & Entrepreneurship |
Depositing User: | Babak Naysary |
Date Deposited: | 24 Jan 2024 10:44 |
Last Modified: | 20 Jun 2024 12:05 |
URI: | https://www.open-access.bcu.ac.uk/id/eprint/15152 |
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