Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices

• Study price effects after one-day abnormal return in developed and emerging markets. Use daily data from 2000 to 2020 compare ESG versus conventional stock indices. Find quite similar for both indices, yet their power is dissimilar. A contrarian effect seen the US market returns. The main results offer additional evidence against Efficient Market Hypothesis. This paper examines related one day returns on indices of countries while accounting differences between environmental, social, governance (ESG), Using MSCI family 2007 various methods avoid methodological bias, following hypotheses are tested: returns, specific (momentum/contrarian) appear (H1) cases positive (H1.1) negative (H1.2) stronger case traditional as compared (H2), during crisis period (H3), a dynamic trigger approach more appropriate defining than static (H4), markets ones (H5). mixed H1 provide no favor H2-H5. They also show significant types detected same indices; different some cases. Overall, strong observed returns; trading strategy constructed based this observation could generate profits trading. Hypothesis implications that can assist practitioners beating market.