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Ripple effect of ESG sentiment: How news stirs the waves in China's A-share market

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  • Li, Yilong
  • Qiao, Yuqi
  • Lei, Shaoxin

Abstract

This study examines the influence of environmental, social, and governance (ESG) news sentiment on the stock return volatility of Chinese A-share listed companies. By analyzing data from 2010 to 2023, this study finds that ESG news sentiment significantly increases stock return volatility, particularly in nonstate-owned and small-scale enterprises. In addition, investor sentiment plays a pivotal mediating role in this process. The reliability of the findings is confirmed through baseline regressions, robustness checks, and endogeneity control. Results suggest that ESG news sentiment amplifies stock return volatility by influencing investor sentiment. This discovery offers new perspectives for market participants and policymakers, aiding in a better understanding and management of the role of ESG factors in capital markets. Future research could extend to cross-national data, exploring the specific impacts of different markets and events on stock price volatility.

Suggested Citation

  • Li, Yilong & Qiao, Yuqi & Lei, Shaoxin, 2025. "Ripple effect of ESG sentiment: How news stirs the waves in China's A-share market," International Review of Financial Analysis, Elsevier, vol. 97(C).
    • Handle: RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007889
    DOI: 10.1016/j.irfa.2024.103856
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    More about this item

    Keywords

    ESG; ESG sentiment; Stock price volatility; Media influence on markets; Investment strategies; Financial markets;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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