Research Article 6
Journal of Finance & Economics Research - Volume 10, Issue 1 2025
By Wasim Abbas Shaheen, Mehnaz Khan, Noman Shafi, Waqas
10.20547/jfer2510105
Keywords: Market Crash, Risk Adjusted Returns, Exchange Traded Funds, ESG ETF’s, Capital Asset Pricing Model

This paper aims to investigate the impact of a market crash on the risk adjusted returns of Exchange Traded Funds. A comparative analysis of the impact of covid 19 on ESG Vs. Regular ETFs attempts to ascertain whether ESG factors can provide any hedging during a financial market crash. This study tried to establish whether responsible investments can provide any resilience during a market crisis by comparing the risk adjusted returns of pre and post covid returns of ESG ETFs and regular ETFs. This paper discussed that how the risk factors incorporated in the models (market risk, size risk, book to market risk, profitability risk and investment risk) change before and after covid to assess the impact on overall risk during the crisis. All 3 models indicate that regular ETFs overall performed better than ESG ETFs. Our regression analysis does not indicate any resilience to a market crash by ESG factors. Further the paper studies the impact of the covid crisis on small cap, large cap and midcap ETFs to ascertain which category provides greatest resilience to crisis. The study revealed that small cap and mid cap ETFs perform better than large cap ETFs in times of crisis. However, risk factors are reduced for large cap ETFs during a crisis while risk factors for small and midcap ETFs increase during a crisis.

Submission Date: 29 Nov, 2024 Reviews Completed: 27 Feb, 2025
Acceptance Date: 1 May, 2025 Publication Date: 30 Jun, 2025