ESG, Stock Returns and Stock Volatility: Evidence from Chinese Listed Companies
Corporate sustainability is the top concern of the whole society, and whether environmental, social, and governance (ESG), as a way to measure corporate sustainability, has an impact on company stock returns and volatility is widely discussed. This article investigates how ESG performance influences...
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| Format: | Article |
| Language: | English |
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EDP Sciences
2024-01-01
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| Series: | SHS Web of Conferences |
| Online Access: | https://www.shs-conferences.org/articles/shsconf/pdf/2024/01/shsconf_icdeba2023_02002.pdf |
| _version_ | 1797343395470901248 |
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| author | Fu Jian |
| author_facet | Fu Jian |
| author_sort | Fu Jian |
| collection | DOAJ |
| description | Corporate sustainability is the top concern of the whole society, and whether environmental, social, and governance (ESG), as a way to measure corporate sustainability, has an impact on company stock returns and volatility is widely discussed. This article investigates how ESG performance influences the return of stocks and volatility for all A-share companies during the period of 2019 to 2022. The research employs the composite ESG score and the separate E, S, and G scores to evaluate the ESG performance of corporations, and employs regression models to examine the association between ESG score, individual score, and stock returns. Additionally, the study examines how the volatility of the stocks is related to the ESG score and individual score. In the results, the combined ESG score is significantly and negatively related to stock returns. Returns on stocks are significantly negatively influenced by individual E, S, and G scores. Moreover, stock volatility is significantly negatively correlated with the combined ESG score and individual score. |
| first_indexed | 2024-03-08T10:46:58Z |
| format | Article |
| id | doaj.art-2c481a158ae94845bef134c19e4069e2 |
| institution | Directory Open Access Journal |
| issn | 2261-2424 |
| language | English |
| last_indexed | 2024-03-08T10:46:58Z |
| publishDate | 2024-01-01 |
| publisher | EDP Sciences |
| record_format | Article |
| series | SHS Web of Conferences |
| spelling | doaj.art-2c481a158ae94845bef134c19e4069e22024-01-26T16:53:38ZengEDP SciencesSHS Web of Conferences2261-24242024-01-011810200210.1051/shsconf/202418102002shsconf_icdeba2023_02002ESG, Stock Returns and Stock Volatility: Evidence from Chinese Listed CompaniesFu Jian0Department of Accounting and Finance, the University of AucklandCorporate sustainability is the top concern of the whole society, and whether environmental, social, and governance (ESG), as a way to measure corporate sustainability, has an impact on company stock returns and volatility is widely discussed. This article investigates how ESG performance influences the return of stocks and volatility for all A-share companies during the period of 2019 to 2022. The research employs the composite ESG score and the separate E, S, and G scores to evaluate the ESG performance of corporations, and employs regression models to examine the association between ESG score, individual score, and stock returns. Additionally, the study examines how the volatility of the stocks is related to the ESG score and individual score. In the results, the combined ESG score is significantly and negatively related to stock returns. Returns on stocks are significantly negatively influenced by individual E, S, and G scores. Moreover, stock volatility is significantly negatively correlated with the combined ESG score and individual score.https://www.shs-conferences.org/articles/shsconf/pdf/2024/01/shsconf_icdeba2023_02002.pdf |
| spellingShingle | Fu Jian ESG, Stock Returns and Stock Volatility: Evidence from Chinese Listed Companies SHS Web of Conferences |
| title | ESG, Stock Returns and Stock Volatility: Evidence from Chinese Listed Companies |
| title_full | ESG, Stock Returns and Stock Volatility: Evidence from Chinese Listed Companies |
| title_fullStr | ESG, Stock Returns and Stock Volatility: Evidence from Chinese Listed Companies |
| title_full_unstemmed | ESG, Stock Returns and Stock Volatility: Evidence from Chinese Listed Companies |
| title_short | ESG, Stock Returns and Stock Volatility: Evidence from Chinese Listed Companies |
| title_sort | esg stock returns and stock volatility evidence from chinese listed companies |
| url | https://www.shs-conferences.org/articles/shsconf/pdf/2024/01/shsconf_icdeba2023_02002.pdf |
| work_keys_str_mv | AT fujian esgstockreturnsandstockvolatilityevidencefromchineselistedcompanies |