Investor sentiment, market volatility, and ESG Index dynamics: an empirical analysis
This study integrates both traditional finance theory and behavioral finance to explore the impact of investor sentiment and market volatility on Environmental, Social and Governance (ESG) thematic indices in the Indian market. Using the India Volatility Index to represent market volatility and the...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2025-12-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2025.2526721 |
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| author | Pushpa Negi Silky Vigg Kushwah Anand Jaiswal Ihor Rekunenko |
| author_facet | Pushpa Negi Silky Vigg Kushwah Anand Jaiswal Ihor Rekunenko |
| author_sort | Pushpa Negi |
| collection | DOAJ |
| description | This study integrates both traditional finance theory and behavioral finance to explore the impact of investor sentiment and market volatility on Environmental, Social and Governance (ESG) thematic indices in the Indian market. Using the India Volatility Index to represent market volatility and the Market Mood Index as a measure of investor sentiment, the research examines three ESG indices from the National Stock Exchange: the Nifty 100 ESG Index, the Nifty 100 Enhanced ESG Index and the Nifty 100 ESG Sector Leaders Index. Daily data from April 2018 to May 2024 is analyzed through a quantile causality approach to investigate how these variables interact across different market conditions. Findings reveal that investor sentiment and market volatility deviate ESG stock returns from fundamental values, challenging the Efficient Market Hypothesis. The study underscores behavioral finance’s role in ESG performance, providing insights into resilient investments and sustainable policy stability. |
| format | Article |
| id | doaj-art-6d6e048d95bf44fdbab5e6b6a29319b3 |
| institution | Kabale University |
| issn | 2332-2039 |
| language | English |
| publishDate | 2025-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj-art-6d6e048d95bf44fdbab5e6b6a29319b32025-08-20T03:27:44ZengTaylor & Francis GroupCogent Economics & Finance2332-20392025-12-0113110.1080/23322039.2025.2526721Investor sentiment, market volatility, and ESG Index dynamics: an empirical analysisPushpa Negi0Silky Vigg Kushwah1Anand Jaiswal2Ihor Rekunenko3Department of Finance, New Delhi Institute or Management, New Delhi, IndiaDepartment of Finance, New Delhi Institute or Management, New Delhi, IndiaDepartment of Policy and Management Studies, TERI School of Advanced Studies, New Delhi, IndiaOleg Balatskyi Department of Management, Sums’kij derzhavnij universitet, Sumy, UkraineThis study integrates both traditional finance theory and behavioral finance to explore the impact of investor sentiment and market volatility on Environmental, Social and Governance (ESG) thematic indices in the Indian market. Using the India Volatility Index to represent market volatility and the Market Mood Index as a measure of investor sentiment, the research examines three ESG indices from the National Stock Exchange: the Nifty 100 ESG Index, the Nifty 100 Enhanced ESG Index and the Nifty 100 ESG Sector Leaders Index. Daily data from April 2018 to May 2024 is analyzed through a quantile causality approach to investigate how these variables interact across different market conditions. Findings reveal that investor sentiment and market volatility deviate ESG stock returns from fundamental values, challenging the Efficient Market Hypothesis. The study underscores behavioral finance’s role in ESG performance, providing insights into resilient investments and sustainable policy stability.https://www.tandfonline.com/doi/10.1080/23322039.2025.2526721Investor sentimentmarket volatilityESG Indexcausal relationshipstock returnG1 |
| spellingShingle | Pushpa Negi Silky Vigg Kushwah Anand Jaiswal Ihor Rekunenko Investor sentiment, market volatility, and ESG Index dynamics: an empirical analysis Cogent Economics & Finance Investor sentiment market volatility ESG Index causal relationship stock return G1 |
| title | Investor sentiment, market volatility, and ESG Index dynamics: an empirical analysis |
| title_full | Investor sentiment, market volatility, and ESG Index dynamics: an empirical analysis |
| title_fullStr | Investor sentiment, market volatility, and ESG Index dynamics: an empirical analysis |
| title_full_unstemmed | Investor sentiment, market volatility, and ESG Index dynamics: an empirical analysis |
| title_short | Investor sentiment, market volatility, and ESG Index dynamics: an empirical analysis |
| title_sort | investor sentiment market volatility and esg index dynamics an empirical analysis |
| topic | Investor sentiment market volatility ESG Index causal relationship stock return G1 |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2025.2526721 |
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