Comparison of the impact of the health and energetic crisis: An analysis of ESG leaders and laggards ETFs in Europe and North America

Abstract

This master's thesis delves into the intricate interplay between ESG-oriented and non-ESG exchange traded funds (ETFs) during health and energetic crises in both European and North American markets. Through a rigorous analytical framework, this study investigates the multifaceted relationships between various factors and ETF performance, uncovering novel insights into the distinct dynamics that emerge in times of crisis. In the European context, the health crisis reveals a complex landscape. The analysis demonstrates a modest correlation between the independent variables and ETF returns, with limited explanatory power. Factors such as market risk (MKTRF), size (SMB), and value (HML) do not consistently exhibit statistically significant associations with ETF returns. In North America, the growth of COVID-19 cases significantly influences the performance of both ESG-oriented and non-ESG ETFs, underscoring the nuanced regional responses to crisis events. The energetic crisis brings further nuances to light. In Europe, the model's explanatory power remains moderate, and factors such as MKTRF, SMB, HML, INDEXRT, and POSTINV lack consistent significance in differentiating ETF performance. Conversely, in North America, the analysis reveals a stronger link between these factors and ETF returns, highlighting the importance of MKTRF, SMB, HML, and INDEXRT in shaping performance dynamics. Comparing the outcomes of the two crises, the study underscores the divergent impacts. While the health crisis results present a mixed picture, the energetic crisis results offer more coherent and significant associations, particularly in the North American context. This discrepancy emphasizes the significance of crisis-specific factors and regional dynamics in shaping ETF performance. This study carries implications for a broad spectrum of stakeholders, from investors seeking to navigate market uncertainties to policymakers designing crisis response strategies. However, it's important to acknowledge the study's limitations, including its reliance on historical data and potential unaccounted variables. In conclusion, this master's thesis presents an in-depth exploration of the intricate relationships between health and energetic crises and ETF performance. By unravelling the multifaceted influences of various factors and regional dynamics, this study contributes valuable insights for understanding and navigating the intricate landscape of ETF performance during times of upheaval.