We apply wavelet analyses to study how the social media coverage of the Covid-19 pandemic influenced the volatility of ESG (Environmental, Social and Governance) leaders indices encompassing World, USA, Europe, China, and Emerging Markets. We document intervals of low, medium, and high coherence between the Media Coverage Index and the price moves of the ESG Leaders indices. The low coherence intervals indicate the diversification potential of ESG investments during a systemic pandemic such as Covid-19. We document differences in the pattern exhibited by various geographical indices evidencing their potential role for designing cross-geography hedge strategies.