 Ripple effect of ESG sentiment: How news stirs the waves in China's A-share marketYilong Li, Yuqi Qiao and Shaoxin Lei International Review of Financial Analysis, 2025, vol. 97, issue C Abstract: This study examines the influence of environmental, social, and governance (ESG) news sentiment on the stock return volatility of Chinese A-share listed companies. By analyzing data from 2010 to 2023, this study finds that ESG news sentiment significantly increases stock return volatility, particularly in nonstate-owned and small-scale enterprises. In addition, investor sentiment plays a pivotal mediating role in this process. The reliability of the findings is confirmed through baseline regressions, robustness checks, and endogeneity control. Results suggest that ESG news sentiment amplifies stock return volatility by influencing investor sentiment. This discovery offers new perspectives for market participants and policymakers, aiding in a better understanding and management of the role of ESG factors in capital markets. Future research could extend to cross-national data, exploring the specific impacts of different markets and events on stock price volatility. Keywords: ESG; ESG sentiment; Stock price volatility; Media influence on markets; Investment strategies; Financial markets (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007889 DOI: 10.1016/j.irfa.2024.103856 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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