The performance of ESG portfolios: Evidence from the Chinese market under COVID-19

Shaolin Wang, Ho Cheung Cheng, Jianli Wang and Ho Yin Yick

Economic Modelling, 2025, vol. 143, issue C

Abstract: We investigate the impact of COVID-19 on the relationship between environmental, social, and governance (ESG) and portfolio performance in the Chinese stock market. The overall sample period is divided into three subperiods, namely, pre-, during-, and post-pandemic periods. Two different ESG stock portfolio strategies are adopted, that is, an equal-weighted portfolio strategy based on the negative screening method and an optimal portfolio using the classic mean–variance model. By conducting a regression analysis on the relationship between corporate ESG scores and stock returns, we find that ESG elements can lead to better financial performance during the pandemic. Meanwhile, in pre- and post-pandemic periods, ESG elements may have no effect or even a negative effect on financial performance. Our findings also underscore ESG's role in risk mitigation during turbulent periods.

Keywords: ESG; COVID-19 pandemic; Optimal portfolio; Efficient frontier; Sharpe ratio (search for similar items in EconPapers)
JEL-codes: D62 G11 G14 M14 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:143:y:2025:i:c:s0264999324003158

DOI: 10.1016/j.econmod.2024.106958

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