Research on the effect of ESG performance on stock price synchronicity: Empirical evidence from China's capital markets

Jianxiong Hu, Qing Zou and Qianqian Yin

Finance Research Letters, 2023, vol. 55, issue PA

Abstract: This study explores the effects of corporate ESG performance on stock price synchronicity, using data from Chinese listed companies from 2010 to 2021. We find strong evidence that high-level corporate ESG performance improves the stock price synchronicity. We address the endogeneity concerns using method such as PSM test. Furthermore, corporate ESG performance has a “noise reduction” effect. That is, ESG performance reduces information asymmetry and thus improves stock price synchronicity. In addition, the “noise reduction” effect of ESG performance is significantly higher in state-owned companies and companies with high investor trust.

Keywords: ESG performance; Stock price synchronicity; Information asymmetry (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002192

DOI: 10.1016/j.frl.2023.103847

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