Next Article in Journal
Estimating Yield Components, Limiting Factors, and Yield Gaps of Enset in Ethiopia Using Easily Measurable Above-Ground Plant Traits
Next Article in Special Issue
Social Capital and Loan Cost: The Role of Interpersonal Trust
Previous Article in Journal
Quantifying the Health and Wealth Benefits of Reducing Point Source Pollution: The Case of the Sugar Industry in Pakistan
Previous Article in Special Issue
Current State and Development of Green Bonds Market in the Latin America and the Caribbean
Article

Sustainable Finance and COVID-19: The Reaction of ESG Funds to the 2020 Crisis

Department of Economics and Finance, University of Rome Tor Vergata, 00133 Roma, RM, Italy
*
Author to whom correspondence should be addressed.
Academic Editor: Luigi Aldieri
Sustainability 2021, 13(23), 13253; https://doi.org/10.3390/su132313253
Received: 4 October 2021 / Revised: 15 November 2021 / Accepted: 23 November 2021 / Published: 30 November 2021
(This article belongs to the Special Issue Sustainable and Responsible Investing)
We investigated the financial performance of a sample of sustainable investment funds in terms of returns, volatility, and contagion risk during the financial crisis caused by the COVID-19 pandemic. In order to conduct a more reliable analysis, we considered a homogenous sample composed of 30 funds declaring the same benchmark (the MSCI Europe index). The Morningstar Sustainability ESG rating was used to determine the level of sustainability of each fund. Both the GARCH models and the event study suggest that funds with a higher ESG rating were able to outperform other funds during the COVID-19 period. These funds had a greater level of resilience and exhibited a lower level of risk contagion during the pandemic. These instruments appear to assume the role of risk protection and should be considered a means of both promoting sustainable growth and minimizing portfolio risk. View Full-Text
Keywords: ESG funds; volatility analysis; financial performance; sustainable finance ESG funds; volatility analysis; financial performance; sustainable finance
Show Figures

Figure 1

MDPI and ACS Style

Pisani, F.; Russo, G. Sustainable Finance and COVID-19: The Reaction of ESG Funds to the 2020 Crisis. Sustainability 2021, 13, 13253. https://doi.org/10.3390/su132313253

AMA Style

Pisani F, Russo G. Sustainable Finance and COVID-19: The Reaction of ESG Funds to the 2020 Crisis. Sustainability. 2021; 13(23):13253. https://doi.org/10.3390/su132313253

Chicago/Turabian Style

Pisani, Fabio, and Giorgia Russo. 2021. "Sustainable Finance and COVID-19: The Reaction of ESG Funds to the 2020 Crisis" Sustainability 13, no. 23: 13253. https://doi.org/10.3390/su132313253

Find Other Styles
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Back to TopTop