Abstract
This study explores the impact of the COVID-19 media coverage index (MCI) on the return and volatility connectedness of five MSCI Climate Changes Indices (the USA, Emerging Markets (EMU), Japan, Europe, and the Asia Pacific). The sample period was from 11 March 2020–19 January 2022, divided into sub-samples based on four waves of the COVID-19 pandemic. Thus, we use the time-varying parameter vector autoregression (TVP-VAR) model besides the frequency-dependent connectedness network approach. The key findings are as follows. First, the results demonstrate that the MCI is a net receiver of shocks in all waves, and the highest level of connectedness occurs in the first wave. The findings concerning volatility are similar, with the majority of MSCI Climate Change Indices being net transmitters, potentially indicating the severity of the pandemic. Second, estimating the short-, medium-, and long-term return network connectedness indicates the dominance of strong-term connectedness suggesting the spread of shocks within a week. Our results are robust by replacing MCI with Panic Index (PI). These results have implications for investors and policymakers.