European green, grey, red securities and crisis sentiment

The research provides evidence of crisis sentimental indexes influencing the returns of Green, Grey and Red securities in the European Union. This study documents investors’ crisis mood and economic uncertainty policy sentiment impacting the environmental classification monthly returns. The monthly crisis factors are based on European countries’ google query volumes from 1/2004 till 12/2019 and are created by following the adjusted Financial and Economic Attitudes Revealed by Search Index (Anastasiou and Drakos, 2021). Additional applied sentiments are General Crisis and Global Economic Policy Uncertainty Indexes. The negative household mood during times of crisis and uncertainty decreases Grey and Red equity price returns, while the effect on Green equity returns is either insignificant or positive, that helps to apply strategic measures to mitigate contagion risks. The implications drawn from these findings hold valuable insights for environmentally conscious investors aiming to (un)balance portfolios and make informed hedging decisions based on the level of investors’ crisis sentiment.