COVID-19 media coverage and ESG leader indices

This study examines the dynamic connectedness between COVID-19 media coverage index (MCI) and ESG leader indices. Our findings provide evidence that MCI plays a role in facilitating the transmission of contagion to advanced and emerging equity markets during the pandemic. The connectedness between MCI and ESG leader indices is more pronounced around March and April 2020 at the peak of the pandemic. The US is a net receiver of shocks reaffirming that it was the most affected country during the pandemic. Our results provide implications for investors, portfolio managers, and policymakers in mitigating financial risks during the pandemic.

Automated summary

This study examines the dynamic connectedness between the COVID-19 media coverage index (MCI) and ESG leader indices, revealing that MCI facilitates the transmission of the pandemic to advanced and emerging equity markets. The connection between MCI and ESG leader indices is most prominent in March and April 2020, during the peak of the pandemic. The United States, as a net receiver of shocks, reaffirms its status as the most affected country during the pandemic.