International Journal For Multidisciplinary Research

E-ISSN: 2582-2160   •   Impact Factor: 9.24

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Volume 7 Issue 2
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Examining Cointegration and Market Dynamics Among the Global Sustainability and Social Responsibility Indices During Covid -19 Pandemic: An Empirical Analysis Across the ESG And SRI Indices of Emerging Markets

Author(s) Adeline Sophia S, Krishna T A
Country India
Abstract ABSTRACT
The co-integration of global stock markets during crisis periods has gained increasing attention in recent years, carrying significant implications for market participants. This study examines the cointegration and causal relationship among the ESG and SRI indices of the emerging markets during the crisis time period. The daily closing price data of the sustainability indices from 10 Emerging countries between Jan 2020 to Jun 2024 was employed in the study. The Johansen’s Co-integration and Granger’s Causality tests were used to evaluate long-term co-integration and short-term causal interactions among the study variables, determining if they move together and influence each other over time. The empirical results revealed that there was one Co-integration relationship during the from the COVID-19 period till date. The trace test and the maximum eigenvalue test values were considered to establish the co-integration among the selected market indices based on their probability values. The co-integration of global stock markets during crisis periods has gained increasing attention in recent years, carrying significant implications for market participants. The study has key implications for investors, traders, regulators, policymakers, and analysts, potentially shaping investment strategies, risk management, regulatory frameworks, and offering insights into market stability and integration during crises.
Keywords Cointegration, Causality, emerging countries, Covid-19, Johansen's test, Granger test, ADF, Augmented Dickey Fuller test, Sustainability Indices, ESG, environmental sustainability
Published In Volume 7, Issue 2, March-April 2025
Published On 2025-03-08
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E-ISSN 2582-2160
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