Does ESG Certification Improve Price Efficiency in the Chinese Stock Market?

Chunying Wu (), Xiong Xiong () and Ya Gao ()
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Chunying Wu: Tianjin University
Xiong Xiong: Tianjin University
Ya Gao: Dalian University of Technology

Asia-Pacific Financial Markets, 2022, vol. 29, issue 1, No 6, 97-122

Abstract: Abstract This paper investigates the impact of ESG certification on the pricing efficiency in Chinese listed firms and examines the internal mechanism of this impact. Empirical findings identify that stocks included in the ESG lists have relatively better pricing efficiency performances. Added to (Removed from) the ESG lists can be a certification of good (bad) ESG performance and improve (lessen) the pricing efficiency. Two potential internal mechanisms of the improvement of ESG certification on pricing efficiency performances might be the improvement of stock liquidity and the reduction of information asymmetry.

Keywords: ESG certification; Price efficiency; The Chinese stock market (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10690-021-09346-4

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