公司ESG表现与防范股票市场风险——基于股价同步性的路径分析  

ESG Performance and Preventing Stock Market Risk:Path Analysis Based on Stock Price Synchronicity

作　　者：翁舟杰[1] 赖政 Weng Zhoujie;Lai Zheng

机构地区：[1]西南财经大学金融学院

出　　处：《统计研究》2024年第8期56-68,共13页Statistical Research

摘　　要：本研究选取2010—2021年我国A股上市公司的面板数据,以固定效应模型深入探讨公司的环境、社会和治理(ESG)表现与股价崩盘风险间的联系;并进一步分析了面对外部风险冲击时,ESG表现出色的公司是否展现出更强的韧性,即能够降低股价崩盘风险。同时,本研究通过股价同步性进行路径分析,以更深层次地理解公司的ESG表现和股价崩盘风险间的逻辑联系。研究表明,当公司的ESG表现更为出色时,其股价崩盘的风险也相应降低;相比于国有企业,拥有更出色ESG表现的非国有企业,在减少股价崩盘这方面的效果更优;在面对公共卫生等突发事件时,ESG表现出色的公司,拥有更强的抵御冲击的能力,股价崩盘的可能性更低。股价同步性在ESG表现和股价崩盘风险间产生了遮掩作用,使ESG表现与股价崩盘风险间的负相关性减弱。本研究为探讨股价崩盘的影响因素提供新的研究视角,帮助理解公司ESG表现在资本市场中的作用,对预防和化解金融风险并促进我国资本市场的进一步发展具有理论和现实意义。This paper selects the panel data of A-share listed companies in China from 2010 to 2021 to study the relationship between environmental,social and governance(ESG)performance and the risk of stock price collapse using a fixed effect model,and we further analyze whether the companies with outstanding performance of ESG show greater resilience under the impact of external risks.Meanwhile,this article conducts a path transmission analysis through stock price synchronicity to further understand the logical connection between a company's ESG performance and its stock price crash risk.Research has shown that when a company's ESG performance is better,the risk of its stock price collapse is correspondingly reduced.If non-state-owned enterprises have better ESG performance,their effectiveness in reducing the risk of stock price collapse is significantly better than that of state-owned enterprises.Companies with outstanding performance of ESG have stronger resilience in the face of emergencies in public health and other areas.In addition,the synchronicity of stock prices plays a masking role in the relationship between ESG performance and stock price collapse risk,leading to a weakened negative correlation between the two.This study provides a new research perspective for studying the risk of stock price collapse,gives insight to the role of ESG performance in the capital market,and provides valuable theoretical and practical guidance for preventing and solving financial risks and promoting the development of China's capital market.

关 键 词：ESG表现 股价崩盘风险 股价同步性 

分 类 号：F832.5[经济管理—金融学]