ESG volatilities through crises in the world’s happiest country

Abstract. There have been recently many adverse events happened to the financial world, such as the COVID-19 pandemic in 2019, the rise in inflation from 2021 to 2022, Ukraine war in 2022, and the current global recession. In the world’s happiest country Finland, ESG Sustainable Investing is so popular that it has become one of the most favourable research topics here. However, is it worth to consistently invest in ESG entities in Finland, especially in crises? This paper has examined the daily return series of Finland stock market index (OMX Helsinki 25), the actively managed mutual fund EVLI Finland Select, and 61 Finnish companies from 1.1.2015 to 5.5.2022. The econometric models of ARCH, GARCH, or EGARCH have been applied to estimate the variance and the conditional volatility of all observations. As a result, it can be concluded that the Finnish market benchmark OMXH25 was more efficient and less volatised than not only most of the ESG companies, but also the EVLI Finland Select in crises. Considering the ESG Combined Scores 2020 from Refinitiv Eikon, a highly scored ESG company seemed not to volatilise better than a lower ranking one in Finland for this period