Online Search Attention, Social Media Sentiment and Sustainable Investment Performance

Digitalization is increasing the volume of online searches and people’s interaction in social media. This might reflect people’s attention and sentiment toward topical issues such as sustainability. This paper aims to investigate the connectedness between online search attention, social media sentiment, and the Environmental, Social and Governance (ESG) index returns in Morocco. Using weekly data and the quantile connectedness approach, the results show that the connectedness between online search attention, social media sentiment and ESG index returns is time-varying and event dependent, especially during the COVID-19 pandemic. This implies that the pandemic has heightened investor sensitivity to sustainability, which might affect ESG index returns. Moreover, online search attention and social media sentiment sometimes act as net receivers and sometimes as net senders. The results also illustrate that spillover effects are mainly driven by the short-term component, except for the COVID-19 outbreak. This research has practical implications for investors, companies, and policymakers.