The Impact Of ESG Performance On Stock Price Synchronization

ESG refers to the enterprise environment,social and governance.At present,China attaches great importance to sustainable development and vigorously develops green economy.The concept of ESG has become increasingly popular.In recent years,the strategic policy of "carbon peak,carbon neutrality" has further increased the importance of enterprises on ESG performance.More and more listed companies are transmitting their environmental,social,and corporate governance performance to the capital market through ESG reports and other means.This article intends to explore whether ESG integration into the capital market can improve the information environment of listed companies in China and improve the information efficiency of the capital market.This article aims to explore from the perspective of stock price synchronization.This paper selects Shanghai and Shenzhen A-share listed companies from 2011 to 2020 as research samples to empirically test the impact of listed companies’ ESG performance on stock price synchronicity.Lagging variables and instrumental variables are used to solve the endogenous problem,and the key variable measurement method is replaced to verify the robustness of the empirical results.Next,group regression will be conducted from two aspects: the nature of property rights and whether it belongs to a heavily polluting industry,to test the cross-sectional differences in empirical results.In addition,this article also studies the internal mechanism of the impact of ESG performance on stock price synchronicity of listed companies from the perspective of information transparency.This study found that:(1)There is a significant positive correlation between ESG performance of listed companies and stock price synchronicity,indicating that under the "noise view" theory,the excellent performance of listed companies in ESG practice can reduce information uncertainty,suppress abnormal fluctuations caused by noise trading affecting stock prices,and thereby improve stock price synchronicity.(2)In non-state-owned enterprises and non heavily polluting industry enterprises,ESG performance has a more significant effect on improving stock price synchronicity.(3)The ESG performance of listed companies affects stock price synchronicity by improving information transparency.Information transparency plays a partial mediating role in the relationship between ESG performance and stock price synchronicity.The improvement of stock price synchronicity means an improvement in the information environment of the enterprise.This result indirectly proves that stock price synchronicity under the "noise view" positively reflects the information efficiency of the capital market.This article tends to use the "noise perspective" to explain the information environment of Chinese capital market,enriching theoretical research on stock price synchronicity in the Chinese capital market environment,and providing theoretical guidance for promoting the government to vigorously develop ESG,promoting enterprises to improve ESG performance,and reducing investors’ irrational trading behavior.