Economics and Mathematical MethodsEconomics and Mathematical MethodsЭкономика и математические методы0424-73883034-6177The Russian Academy of Sciences68454410.31857/S0424738825020108Mathematical analysis of economic modelsМатематический анализ экономических моделейResearch ArticleWavelet analysis of the relationship between energy prices and stock indices of high ESG-rating companies: Investment diversification opportunitiesВейвлет-анализ взаимосвязи между ценами на энергоресурсы и индексами акций компаний с высокими ESG-рейтингами: возможности диверсификации инвестицийSokolovaТ. V.СоколоваТ. В.
Russian Federation
tv.sokolova@hse.ruGurovS. V.ГуровС. В.
Russian Federation
sgurov@hse.ruMedvedevV. А.МедведевВ. А.
Russian Federation
medvedev.v@hse.ruLysenkoV. V.ЛысенкоВ. В.
Russian Federation
vlysenko@hse.ruNational Research University “Higher School of Economics”НИУ «Высшая школа экономики»040720256121281421606202516062025Copyright ©; 2025, Russian Academy of SciencesCopyright ©; 2025, Российская академия наук2025Russian Academy of SciencesРоссийская академия наукhttps://journals.eco-vector.com/0424-7388/article/view/684544

Our research is the first attempt to identify relationships between «Brent» oil and natural gas prices and indices of stocks of companies with high ESG-ratings (ESG-leaders) in the time and frequency domains. We use such methods in the wavelet analysis framework as analysis of quadratic wavelet coherence and phase difference between data series. Our study is based on daily data from 2018 to the beginning of 2024, which allows us to cover periods of relative macroeconomic stability (until 2020), the COVID-19 coronavirus pandemic (2020–2021) and growing geopolitical tensions in the world (from 2022). We consider ESG-indices of the global market, US and EU markets. Our study shows areas of low and high consistency between energy prices and ESG-leaders’ indices for the three periods under examination and identifies lag and lead relationships between the two considered asset classes. Identifying areas of low consistency allows an investor to develop investment diversification strategies, including hedging against drops in oil and gas prices during global crises. We find that global and US ESG-leaders’ indices provide opportunities for diversifying investments in natural gas futures.

Мы впервые выявляем взаимосвязи между ценами на нефть «Brent» и природный газ и индексами акций компаний с высокими ESG-рейтингами во временной и частотной областях. Мы применяем такие методы вейвлет-анализа, как анализ квадратичной вейвлет-когерентности и разности фаз между рядами данных. Исследование строится на ежедневных данных с 2018 по начало 2024 г., что позволяет охватить периоды относительной макроэкономической стабильности (до 2020 г.), пандемии коронавируса COVID-19 (2020–2021 г.) и роста геополитической напряженности в мире (с 2022 г.). Мы рассматриваем ESG-индексы глобального рынка, рынков США и ЕС. В нашем исследовании показаны области низкой и высокой согласованности цен на энергоресурсы и ESG-ориентированных индексов для трех рассматриваемых периодов, выявлены соотношения запаздывания и опережения между рассматриваемыми классами активов. Выявление областей низкой согласованности позволяет разработать стратегии диверсификации инвестиций, в том числе для хеджирования от падений цен на нефть и газ в условиях глобальных кризисов. Мы пришли к выводу, что индексы акций компаний–лидеров ESG глобального рынка и рынка США предоставляют возможности для диверсификации инвестиций во фьючерсы на природный газ.

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