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ESG and Stock Price Volatility Risk: Evidence from Chinese A-share Market

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  • Xu, Zhixiang
  • Liu, Dehong
  • Li, Yushu
  • Guo, Fanyu

Abstract

This study investigates whether Environmental, Social, and Governance (ESG) performance influences stock idiosyncratic and extreme risks. We find that listed companies’ ESG performance significantly reduces stock idiosyncratic and extreme risks. Furthermore, we find that this mitigating effect is shaped by the nature of enterprise ownership and the firm life cycle. Through an additional mechanistic analysis, we confirm that ESG performance affects the stock price volatility risk of listed companies by reducing the levels of corporate earnings management and bolstering corporate reputation, thereby alleviating both idiosyncratic and extreme risk in stock prices.

Suggested Citation

  • Xu, Zhixiang & Liu, Dehong & Li, Yushu & Guo, Fanyu, 2025. "ESG and Stock Price Volatility Risk: Evidence from Chinese A-share Market," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
    • Handle: RePEc:eee:ecofin:v:75:y:2025:i:pa:s106294082400202x
    DOI: 10.1016/j.najef.2024.102277
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    More about this item

    Keywords

    Environmental; Social; and Governance (ESG); Stock price; Volatility risk;
    All these keywords.

    JEL classification:

    • 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
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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