Research On The Relationship Between ESG Performance And Stock Liquidity Of Chinese A-share Listed Companies

Amihud(1988)pointed out that "liquidity is everything in the market".Liquidity is one of the core elements of the normal operation of the financial market,which fully reveals the important significance and key role of liquidity for the operation of the market.On the one hand,stock liquidity is the basis of normal pricing of stock market,on the other hand,it also reflects the allocation of market resources.The existing domestic and foreign literature shows that higher stock market liquidity is correlated with lower capital cost and higher corporate value.In other words,stock market liquidity is highly correlated with a firm’s financial development and growth.Due to the continuous improvement and development of enterprise management philosophy,under the guidance of green development and enterprise management philosophy in the new era,in recent years,academic theoretical research and corporate practice have begun to pay more attention to the overall performance of enterprises(such as ESG performance),rather than the individual impact of single financial index,social responsibility information,corporate governance and other factors on enterprise value and stock market performance.This has become an inevitable trend.Research on ESG has broad prospects: it is a relatively scarce field in China’s capital market.Research conclusions on this factor are of great significance to the development of companies and financial markets.At present,domestic research on ESG is still in its infancy.From the perspective of information,this paper explores the impact of ESG performance on stock liquidity,which can enrich the literature on stock liquidity and provide a new perspective to explain the stock liquidity of listed companies in our country.ESG is a comprehensive index covering the three dimensions of environment,social responsibility and corporate governance.Exploring its impact on stock liquidity is consistent with the concept of green development in recent years and reflects the development direction of market trading.Based on the A-share data of Chinese listed companies from 2009 to 2021,this paper tested the impact of ESG rating on corporate stock liquidity through total sample regression and subsample regression respectively,and analyzed the relationship between the two in terms of corporate heterogeneity.On this basis,this paper tests the mechanism transmission process of ESG rating affecting stock liquidity through theory and demonstration.After the endogeneity and robustness tests,the conclusions of this paper are still valid.This paper draws the following conclusions:(1)ESG performance of listed companies has a significant positive impact on stock liquidity.(2)There is firm heterogeneity in the impact of ESG evaluation on stock liquidity of listed companies,but the significant positive impact of ESG evaluation on stock liquidity is reflected in companies of different nature.Among them,state-owned holding enterprises and enterprises with high market value have a stronger effect on improving stock liquidity than non-state-owned holding enterprises and enterprises with low market value.(3)The improvement of ESG performance of listed companies is transmitted to the stock market through the improvement of professional institutions’ attention,thus improving stock liquidity.Based on the research results,this paper proposes the following suggestions:Enterprises should establish the concept of sustainable development,strengthen ESG-related practices,and improve their own ESG performance.The government should still pay attention to the corresponding problems such as the difficulty and high cost of financing for Msmes.Professional institutions and their analysts should play their role in transmitting information to investors in a higher quality and more realistic manner.ESG rating agencies need to establish a more complete ESG evaluation system and improve the quality of ESG information itself.