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The performance of ESG portfolios: Evidence from the Chinese market under COVID-19

Author

Listed:
  • Wang, Shaolin
  • Cheng, Ho Cheung
  • Wang, Jianli
  • Yick, Ho Yin

Abstract

We investigate the impact of COVID-19 on the relationship between environmental, social, and governance (ESG) and portfolio performance in the Chinese stock market. The overall sample period is divided into three subperiods, namely, pre-, during-, and post-pandemic periods. Two different ESG stock portfolio strategies are adopted, that is, an equal-weighted portfolio strategy based on the negative screening method and an optimal portfolio using the classic mean–variance model. By conducting a regression analysis on the relationship between corporate ESG scores and stock returns, we find that ESG elements can lead to better financial performance during the pandemic. Meanwhile, in pre- and post-pandemic periods, ESG elements may have no effect or even a negative effect on financial performance. Our findings also underscore ESG's role in risk mitigation during turbulent periods.

Suggested Citation

  • Wang, Shaolin & Cheng, Ho Cheung & Wang, Jianli & Yick, Ho Yin, 2025. "The performance of ESG portfolios: Evidence from the Chinese market under COVID-19," Economic Modelling, Elsevier, vol. 143(C).
    • Handle: RePEc:eee:ecmode:v:143:y:2025:i:c:s0264999324003158
    DOI: 10.1016/j.econmod.2024.106958
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    More about this item

    Keywords

    ESG; COVID-19 pandemic; Optimal portfolio; Efficient frontier; Sharpe ratio;
    All these keywords.

    JEL classification:

    • D62 - Microeconomics - - Welfare Economics - - - Externalities
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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