COVID-19 Impact, ESG Performance and Stock Price Volatility Risk

55 Pages Posted: 15 Sep 2022

See all articles by Guangyou Zhou

Guangyou Zhou

Fudan University

Hailiang Lin

Fudan University

Sumei Luo

Shanghai University of Finance and Economics

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

Suggested Citation

Zhou, Guangyou and Lin, Hailiang and Luo, Sumei, COVID-19 Impact, ESG Performance and Stock Price Volatility Risk. Available at SSRN: https://ssrn.com/abstract=4205774 or http://dx.doi.org/10.2139/ssrn.4205774

Guangyou Zhou

Fudan University ( email )

Hailiang Lin

Fudan University ( email )

Beijing West District Baiyun Load 10th
Shanghai, 100045
China

Sumei Luo (Contact Author)

Shanghai University of Finance and Economics ( email )

NO. 777 Guoding Road
Shanghai, 200433
China

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