ESG ratings and stock price volatility: An empirical analysis amidst the COVID-19 pandemic

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Abstract

This study, grounded in the framework of environmental, social, and governance (ESG) integration theory, systematically explores the relationship between ESG scores and stock price volatility of Chinese enterprises during the COVID-19 pandemic. Utilizing a multivariate linear regression model, it explores how ESG ratings influence stock price dynamics across different sectors. Findings suggest a negative correlation between higher ESG ratings and stock price volatility, indicating ESG as a mitigating factor. Additionally, the study examines the moderating effects of company size and industry variations on this relationship. Contributions include providing insights into the role of ESG in risk management and guiding policy formulations to enhance corporate ESG performance amidst market uncertainties.

Keywords: ESG Integration Theory, Stock Price Volatility, ESG Scores, COVID-19 Pandemic, Chinese Enterprises, Multivariate Linear Regression Model

Authors’ individual contribution: Conceptualization — D.A.; Methodology — Y.X.; Validation — D.A.; Formal Analysis — Y.X.; Investigation — Y.X.; Resources — Y.X.; Data Curation — Y.X.; Writing — Original Draft — Y.X.; Writing — Review & Editing — D.A.; Visualization — D.A.; Supervision — D.A.

Declaration of conflicting interests: The Authors declare that there is no conflict of interest.

JEL Classification: G0, G1, G2, G3, G4, M2

Received: 08.02.2024
Accepted: 24.05.2024
Published online: 27.05.2024

How to cite this paper: Askarany, D., & Xin, Y. (2024). ESG ratings and stock price volatility: An empirical analysis amidst the COVID-19 pandemic. Corporate Ownership & Control, 21(2), 132–150. https://doi.org/10.22495/cocv21i2art11