COVID-19 Impact, ESG Performance and Stock Price Volatility Risk
55 Pages Posted: 15 Sep 2022
Abstract
Taking the impact of COVID-19 as a new perspective, this paper attempts to construct a stakeholder analysis framework based on legitimacy theory. Study the impact of ESG performance on stock price volatility risk under exogenous shocks. Theoretical analysis shows that the confidence of stakeholders is an important transmission mechanism for ESG performance to stabilize the risk of stock price fluctuations. The empirical results show that: (1) Under the impact of the epidemic, the ESG performance of enterprises significantly suppressed stock price fluctuations, playing a role of "cushion". (2) ESG has obvious heterogeneity in stabilizing stock price fluctuations, which is mainly reflected in industry differences. (3) The results of the mechanism test by triple difference show that the ESG performance of enterprises reduces the risk of stock price volatility mainly through enhancing the confidence of stakeholders.
Keywords: ESG performance, stock price volatility, quasi-natural experiment, COVID-19
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