ESG Performance and Stock Price Volatility in Public Health Crisis: Evidence from COVID-19 Pandemic

Int J Environ Res Public Health. 2021 Dec 25;19(1):202. doi: 10.3390/ijerph19010202.


Unlike traditional financial crises, COVID-19 is a global public health crisis with a significant negative impact on the global economy. Meanwhile, the stock market has been hit hard, and corporate share prices have become more volatile. However, the stock prices of some enterprises with good performance of ESG (Environment, Social, and Governance) are relatively stable in the epidemic. This paper selects ESG rating data from MSCI (Morgan Stanley Capital International) with better differentiation, adopts multiple regression and dummy variables, and adopts the Differences-in-Differences (DID)model with the help of COVID-19, an exogenous event. Empirical test the impact of ESG performance on the company's stock price fluctuations. The results show that the stock price volatility of companies with good ESG performance is lower than that of companies with poor performance. Second, COVID-19 exacerbates volatility in company stock prices, but the increase in stock price volatility of companies with good ESG performance is small. That is, good ESG performance helps reduce the increase in stock price volatility due to COVID-19 shock, and plays a role in enhancing "resilience" and stabilizing stock prices. This paper provides new empirical evidence for the study of ESG performance and corporate stock price volatility, and puts forward relevant policy recommendations for enterprises and government departments.

Keywords: COVID-19; ESG; avoid risk; public health crisis; stock price volatility.

Publication types

  • Research Support, Non-U.S. Gov't

MeSH terms

  • COVID-19*
  • Humans
  • Pandemics
  • Public Health
  • SARS-CoV-2