ESG Rating Adjustment And Stock Price Synchronization Study

The concept of sustainable development has gradually penetrated into the minds of enterprises and investors,and the demand for green and harmonious development from stakeholders and the public has gradually increased;ESG rating is an important indicator to evaluate whether enterprises attach importance to environment,social responsibility and corporate governance,and it has received increasing attention.Against the backdrop of China’s "double carbon" target,the market has taken into account the non-financial performance of enterprises,and ESG issues are in line with the current economic policies,corporate development goals and investors’ investment demands.At the same time,as economic uncertainty increases in the post-epidemic era,investors’ demands change from gaining more excess returns to avoiding risks and protecting their capital,and stock price synchronization is the main indicator reflecting the movement of stocks with the general market.It is worth exploring whether the change of ESG rating can help investors to avoid some of the risks and the serious "same up,same down" phenomenon of the invested stocks.This paper explores the impact of ESG rating adjustment on stock price synchronization based on theories and perspectives such as signaling theory,information asymmetry theory and idiosyncratic information theory,and constructs an OLS regression model for empirical analysis.Based on the above,the differences between the impact of ESG rating upward and downward adjustments on stock price synchronization are further analyzed,and media coverage is introduced as a moderating variable to explore whether media attention has an impact on the relationship between ESG rating adjustments and stock price synchronization.Considering the impact of the 2008 financial crisis,this paper refers to the treatment of existing literature and intercepts data from 2009 and onwards.Since the explanatory variables are annual increments,the data starts from 2010 and ends in 2021.A total of 28,861 sets of observations are selected from the sample of listed companies in Shanghai and Shenzhen,and the ESG rating of China Securities is used as the main data source,and the following conclusions are obtained after empirical analysis:(1)There is a significant negative relationship between ESG rating adjustment and stock price synchronization,i.e.,a change in ESG rating will lead to a decrease in stock price synchronization,and the greater the degree of ESG rating adjustment,the greater the decrease in stock price synchronization.The greater the degree of ESG rating adjustment,the greater the decrease in stock price synchronization.(2)Compared with the upward adjustment of ESG ratings,the downward adjustment of ratings has a more significant effect on the reduction of stock price synchronization.(3)Media coverage positively moderates the negative relationship between ESG rating adjustment and stock price synchronization,i.e.,the stronger the media coverage,the more ESG rating adjustment can reduce stock price synchronization.(4)The negative effect of ESG rating adjustment on stock price synchronization is more pronounced in less economically developed regions and non polluting enterprises.The research results provide investors in the stock market with a basis for investment analysis,provide ideas for the disclosure of ESG information of listed companies,enrich the research related to ESG ratings and the stock market,and explore in depth the impact of different changes in ESG ratings on stock price synchronization.