Does commitment to environment and society pays? Evidence from COVID-19 impact on stock volatility

Purpose This study aims to analyse whether investment in green and sustainable stocks provide some cushion during current precarious time. To compare the impact of COVID-19 on volatility market-capitalisation-based stocks, daily returns from Greenex, Carbonex, Large-Cap, Mid-Cap Small-Cap index have been analysed over a period six years 2015 2021. Design/methodology/approach At outset, logarithmic return all selected indices has tested for possible unit root heteroscedastic. On confirmation stationarity heteroscedasticity data, auto-regressive conditional heteroscedastic models applied. Thereafter, is modelled through best suitable model as suggested by Akaike Schwarz information criterions. Findings The findings indicate positive indices. Asymmetric power ARCH indicates highest significant Large-Cap index, whereas exponential GARCH detected Index. Originality/value authors’ knowledge, present original sense that it aimed at comparing