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Does ESG Certification Improve Price Efficiency in the Chinese Stock Market?

Author

Listed:
  • Chunying Wu

    (Tianjin University)

  • Xiong Xiong

    (Tianjin University
    Center for Social Computing and Analytics)

  • Ya Gao

    (Dalian University of Technology)

Abstract

This paper investigates the impact of ESG certification on the pricing efficiency in Chinese listed firms and examines the internal mechanism of this impact. Empirical findings identify that stocks included in the ESG lists have relatively better pricing efficiency performances. Added to (Removed from) the ESG lists can be a certification of good (bad) ESG performance and improve (lessen) the pricing efficiency. Two potential internal mechanisms of the improvement of ESG certification on pricing efficiency performances might be the improvement of stock liquidity and the reduction of information asymmetry.

Suggested Citation

  • Chunying Wu & Xiong Xiong & Ya Gao, 2022. "Does ESG Certification Improve Price Efficiency in the Chinese Stock Market?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(1), pages 97-122, March.
    • Handle: RePEc:kap:apfinm:v:29:y:2022:i:1:d:10.1007_s10690-021-09346-4
    DOI: 10.1007/s10690-021-09346-4
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