Using the Time-Frequency Wavelet Analysis, this study investigates the dynamic connectedness between the News Sentiment Index (NSI) and ESG leader indices of developed countries. The empirical findings clearly show nontrivial dynamic comovements between NSI and the ESG indices and the existence of the ESG market volatility in different frequency scales. We also report some discrepancies in cross-linkage patterns among different countries. In particular, such associations for some countries (e.g., Australia and the United Kingdom) are negative, with the leading role of the ESG index against market risk due to high fluctuations in sentiments. These findings suggest that ESG stocks possess potential hedging and diversifying features and safe-haven attributes against market risk driven by negative sentiment during the outbreak of Black Swan events. Our empirical results have insightful implications for investors, portfolio managers, and policymakers.

中文翻译：

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揭开新闻情绪指数与 ESG 股票之间动态关系的神秘面纱——来自时频小波分析的证据


本研究使用时频小波分析，调查了发达国家新闻情绪指数 （NSI） 和 ESG 领导者指数之间的动态关联性。实证研究结果清楚地表明，NSI 和 ESG 指数之间存在非平凡的动态协同运动，并且 ESG 市场在不同频率尺度上存在波动性。我们还报告了不同国家之间交联模式的一些差异。特别是，一些国家（例如澳大利亚和英国）的这种关联是负面的，由于情绪的高波动，ESG 指数在对抗市场风险方面发挥着主导作用。这些发现表明，ESG 股票具有潜在的对冲和多元化特征以及避险属性，可以抵御黑天鹅事件爆发期间由负面情绪驱动的市场风险。我们的实证结果对投资者、投资组合经理和政策制定者具有深刻的启示。