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ESG Performance and Stock Price Volatility in Public Health Crisis: Evidence from COVID-19 Pandemic

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  • Dongyi Zhou

    (School of Economics, Fudan University, Shanghai 200433, China)

  • Rui Zhou

    (School of Economics, Fudan University, Shanghai 200433, China)

Abstract

Unlike traditional financial crises, COVID-19 is a global public health crisis with a significant negative impact on the global economy. Meanwhile, the stock market has been hit hard, and corporate share prices have become more volatile. However, the stock prices of some enterprises with good performance of ESG (Environment, Social, and Governance) are relatively stable in the epidemic. This paper selects ESG rating data from MSCI (Morgan Stanley Capital International) with better differentiation, adopts multiple regression and dummy variables, and adopts the Differences-in-Differences (DID)model with the help of COVID-19, an exogenous event. Empirical test the impact of ESG performance on the company’s stock price fluctuations. The results show that the stock price volatility of companies with good ESG performance is lower than that of companies with poor performance. Second, COVID-19 exacerbates volatility in company stock prices, but the increase in stock price volatility of companies with good ESG performance is small. That is, good ESG performance helps reduce the increase in stock price volatility due to COVID-19 shock, and plays a role in enhancing “resilience” and stabilizing stock prices. This paper provides new empirical evidence for the study of ESG performance and corporate stock price volatility, and puts forward relevant policy recommendations for enterprises and government departments.

Suggested Citation

  • Dongyi Zhou & Rui Zhou, 2021. "ESG Performance and Stock Price Volatility in Public Health Crisis: Evidence from COVID-19 Pandemic," IJERPH, MDPI, vol. 19(1), pages 1-15, December.
    • Handle: RePEc:gam:jijerp:v:19:y:2021:i:1:p:202-:d:711021
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    Cited by:

    1. Zhi Chen, 2023. "Investigate The ESG Score Methodology," Papers 2312.00202, arXiv.org, revised Jan 2024.
    2. Mengli Xia & Zhang-Hangjian Chen & Piao Wang, 2022. "Dynamic Risk Spillover Effect between the Carbon and Stock Markets under the Shocks from Exogenous Events," Energies, MDPI, vol. 16(1), pages 1-15, December.
    3. Cheng, Shi & Huang, Shan, 2024. "ESG combined score effects on stock performance of S&P 500-listed firms," Finance Research Letters, Elsevier, vol. 66(C).
    4. Jiancheng Shen & Chen Chen & Zheng Liu, 2023. "Does environmental investment pay off?—portfolio analyses of the E in ESG during political conflicts and public health crises," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(S1), pages 107-131, December.
    5. Kumar Manaswi & Archana Singh & Vikas Gupta, 2023. "Building a Better Future with Sustainable Investments: Insights from Recent Research," Indian Journal of Human Development, , vol. 17(2), pages 320-343, August.

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