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A Correlation Study on the Relationship between Credit Default Swap (CDS) Spreads and ESG Sentiment in the Banking Sector

Olsson, Mattias LU and Stanakzai, Shabier LU (2023) NEKN01 20231
Department of Economics
Abstract
This study examines the influence of online ESG sentiment on credit market price movement in the banking sector. By employing a panel regression model with fixed effect for firms and time, the study’s findings indicate an inverse relationship between online ESG sentiment and CDS spread in accordance, to some extent, with previous literature. Additionally, the study investigates the impact throughout different time periods, regional effect and sentiment asymmetry. However, limited supporting evidence is found for online ESG sentiment and CDS spread in the banking sector when it comes to regional differences, asymmetric relationships for the ESG sentiment and during periods of economic uncertainty. The study contributes insight into ongoing... (More)
This study examines the influence of online ESG sentiment on credit market price movement in the banking sector. By employing a panel regression model with fixed effect for firms and time, the study’s findings indicate an inverse relationship between online ESG sentiment and CDS spread in accordance, to some extent, with previous literature. Additionally, the study investigates the impact throughout different time periods, regional effect and sentiment asymmetry. However, limited supporting evidence is found for online ESG sentiment and CDS spread in the banking sector when it comes to regional differences, asymmetric relationships for the ESG sentiment and during periods of economic uncertainty. The study contributes insight into ongoing research on understanding ESG’s impact on credit risk in the banking sector and indicates that incorporating ESG could help banks in managing their risk mitigation (Less)
Please use this url to cite or link to this publication:
author
Olsson, Mattias LU and Stanakzai, Shabier LU
supervisor
organization
course
NEKN01 20231
year
type
H1 - Master's Degree (One Year)
subject
keywords
ESG, Sentiment, CDS spreads.
language
English
id
9135947
date added to LUP
2023-09-12 15:36:34
date last changed
2023-09-12 15:36:34
@misc{9135947,
  abstract     = {{This study examines the influence of online ESG sentiment on credit market price movement in the banking sector. By employing a panel regression model with fixed effect for firms and time, the study’s findings indicate an inverse relationship between online ESG sentiment and CDS spread in accordance, to some extent, with previous literature. Additionally, the study investigates the impact throughout different time periods, regional effect and sentiment asymmetry. However, limited supporting evidence is found for online ESG sentiment and CDS spread in the banking sector when it comes to regional differences, asymmetric relationships for the ESG sentiment and during periods of economic uncertainty. The study contributes insight into ongoing research on understanding ESG’s impact on credit risk in the banking sector and indicates that incorporating ESG could help banks in managing their risk mitigation}},
  author       = {{Olsson, Mattias and Stanakzai, Shabier}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{A Correlation Study on the Relationship between Credit Default Swap (CDS) Spreads and ESG Sentiment in the Banking Sector}},
  year         = {{2023}},
}