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

Wu, Chunying; Xiong, Xiong; Gao, Ya

doi:10.1007/s10690-021-09346-4

Cited by 21 publications

(9 citation statements)

References 58 publications

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“…On the other hand, few studies focus on analyzing the persistence of ESG indices by investigating their degree of efficiency against conventional indices. These have been the subject of several empirical tests of their effectiveness (Smith et al, 2002;Manescu, 2010;Onali & Goddard, 2011;Rejichi & Aloui, 2012;Sensoy & Tabak, 2015;Mynhardt et al, 2017;Dias & Santos, 2020;Vadithala & Tadoori, 2021;Caporale et al, 2022;Bofinger et al, 2022;Wu et al, 2022).…”

Section: Literature Reviewmentioning

confidence: 99%

“…In the Chinese context, based on a comprehensive dataset of Chinese companies listed between 2010 and 2019, Wu et al (2022) tested the impact of ESG certification on the price efficiency of companies listed in the ESG 300, ESG 40, and ESG 100 indexes. The researchers concluded that companies added to the ESG lists can improve their price efficiency, while those removed from the ESG lists experience a decline.…”

Section: Literature Reviewmentioning

confidence: 99%

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ESG Indices Efficiency in Five MENA Countries: Application of the Hurst Exponent

Harabida¹,

Radi²,

Gueyié³

2023

TEL

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The efficient market hypothesis (EMH) is one of the main theories related to financial markets. This hypothesis is based on the idea that stock prices already reflect all available market information. In its weak form, the EMH states that future prices cannot be predicted by analyzing historical asset prices. This paper aims to test the effectiveness of environmental, social and governance (ESG) indices in the Middle East and North Africa region (MENA) and compare them with their conventional counterparts. The sample data covers the period from September 27 2018 to December 23 2021 in daily frequency. Our empirical approach is based on Hurst behavior using the R/S statistic. The results reject the market efficiency hypothesis for both ESG and conventional indices and show that these indices are significantly inefficient with persistent returns. In terms of the level of efficiency between the ESG and conventional indices, the study does not indicate significant differences.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

ESG Indices Efficiency in Five MENA Countries: Application of the Hurst Exponent

Harabida¹,

Radi²,

Gueyié³

2023

TEL

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“…96, 5.18, 4.57, and 11.96, and all estimations are positive and significant at the 1 percent level. In comparison, the results in Panel B have the coefficients of 0.0008, 0.0017, 0.0003, and 0.0005 and the 4 The ESG 40 is composed of the China Securities Index Co., Ltd, which includes 40 stocks with the highest ESG ratings from the SSE 180 Corporate Governance Index, and can be a good indicator for firms with good ESG performance in China (also used in Gao et al, 2020;Wu et al, 2021).…”

Section: Institutional Holding Proportion and Firms' Esg Performancementioning

confidence: 99%

The impact of institutional investors on ESG: Evidence from China

Liu

Xiong

Gao

et al. 2022

Accounting & Finance

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This paper studies the influence of institutional ownership on the Chinese A‐shares' ESG performance. Findings reveal the positive improvement from institutional investors, and this impact is stronger in firms with better‐expected ESG performance and low initial ESG performance. Besides, heterogeneous institutional investors have different influences, and only a pressure‐resistant institution plays the promotion role. Further studies based on the period following the financial crisis and when emphasising the environmental protection policy reveal that financial motivation and reputation motivation could be the reason for institutional holding. Our findings are robust after using the instrumental variable analysis, controlling for firm fixed effects, and replacing institutional holdings, and could be beneficial for the governance of firms in China.

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“…Wu et al ( 2022 ), examined the effect of ESG certification on the pricing efficiency. They find that stocks with ESG lists have better pricing efficiency performance.…”

Section: Literature Reviewmentioning

confidence: 99%

The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model

Shaik

Rehman

2022

Asia-Pac Financ Markets

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This study investigates the dynamic volatility connectivity of important environmental, social, and governance (ESG) stock indexes from May 2010 to March 2021. The empirical research is focused on five major S&P ESG stock indexes from the US, Latin America, Europe, the Middle East and Africa, and Asia Pacific regions. The study reveals that ESG stock indexes in the Middle East Africa, and Latin America are net shock transmitters, whereas the United States and Asia Pacific are net volatility receivers. Furthermore, the study finds that bilateral intercorrelations are higher among US, Latin America, and Europe region group pairs and weaker in relation to Middle East Africa and Asia Pacific region group pairs, indicating the presence of contagion within developed and/or emerging regions, which has relevance for portfolio and risk management.

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

Cited by 21 publications

References 58 publications

ESG Indices Efficiency in Five MENA Countries: Application of the Hurst Exponent

ESG Indices Efficiency in Five MENA Countries: Application of the Hurst Exponent

The impact of institutional investors on ESG: Evidence from China

The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model

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