Green versus screen: How the public sentiment towards economic sanctions news during russia-ukraine conflict put esg investments to the test

Abstract

This study employs Quantile-on-Quantile Regression (QQR) to analyze the impact of public sentiment toward economic sanctions on ESG investments during the Russia-Ukraine conflict in North American and European markets. It utilizes the RUWESsent index developed by Abakah et al. (2023) and assesses the returns of five ESG indexes. Findings reveal that public sentiment has heterogeneous effect on ESG investment, as North American market is less responsive to positive sentiments of war-related economic sanctions compared to the European market. Furthermore, adverse news about the conflict has a more pronounced impact on both markets when RUWESsent is at its lowest during bearish conditions.