THE IMPACT OF ESG DISCLOSURE ON STOCK PRICE SYNCHRONICITY
Keywords:
ESG disclosure, Stock price synchronicity, Heterogeneity analysis, A-share listed companiesAbstract
Against the dual context of global sustainable development and the high-quality development of China’s capital market, ESG disclosure has gradually become an important mechanism for mitigating information asymmetry and improving resource allocation efficiency, which carries substantial theoretical and practical importance for fostering the stable and effective functioning of the capital market. Using panel data of Chinese A-share listed firms spanning from 2011 to 2023 as the research sample, this paper empirically investigates the impact of ESG disclosure on stock price synchronicity and its heterogeneous effects across different firm characteristics. The empirical results demonstrate that ESG disclosure significantly reduces stock price synchronicity, and this negative impact exhibits noticeable heterogeneity: it is more conspicuous in non-manufacturing enterprises and state-owned enterprises. Further dimensional analysis reveals that environmental (E) and social (S) dimensions play a significant role in lowering stock price synchronicity, whereas the corporate governance (G) dimension shows no significant effect. By distinguishing industry attributes, property rights and three-dimensional differences of ESG, this study enriches research on the capital market consequences of ESG disclosure and supplements the influencing factors of stock price synchronicity, providing empirical evidence for regulatory authorities and listed companies to improve information disclosure quality.References
[1] Morck R, Yeung B, Yu W. The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements? Journal of Financial Economics, 2000, 58(1-2): 215-260.
[2] Yu E P Y, Guo C Q, Luu B V. Environmental, social, and governance transparency and firm value. Business Strategy and the Environment, 2018, 27(7): 987-1004.
[3] Fallah M, Han S, Zhao L. Forecast Bias in Analysts’ Initial Coverage: The Influence of Firm ESG Disclosures. Journal of Risk and Financial Management, 2025, 18(10): 585.
[4] Fan Q, Wang T. The impact of the Shanghai-Hong Kong Region Stock Connect policy on the A/H share price premium. Finance Research Letters, 2017, 21: 222-227.
[5] Firth M, Rui O M, Wu W. The Effects of Political Connections and State Ownership on Corporate Litigation in China. The Journal of Law and Economics, 2011, 54(3): 573-607.
[6] Wu W, Rui O M. Retail Investors and Stock Price synchronicity. Review of Pacific Basin Financial Markets and Policies, 2022, 25(3): 2250018.
[7] Gao H, Du J, Wen H. Public data access and stock price synchronicity: evidence from China. 2023.
[8] Chen J, Liu X. Environmental regulation and stock price synchronicity: evidence from a quasi-natural experiment in China. International Review of Economics and Finance, 2023, 88: 1513-1528.
[9] Escobar-Saldívar L J, Villarreal-Samaniego D, Santillán-Salgado R J. ESG and its components: impact on stock returns across firm sizes in Europe and the United States. Risks, 2026, 14(1): 4.
[10] Hu J, Zou Q, Yin Q. Research on the effect of ESG performance on stock price synchronicity: empirical evidence from China’s capital markets. Finance Research Letters, 2023, 55: 103847.
[11] Potharla S, Kumar N, Choudhary P, et al. Is ESG data financially viable? a case of stock price synchronicity. Management and Labour Studies, 2024, 49(1): 62-81.
[12] Spence A M. Labor Market Signaling. Quarterly Journal of Economics, 1973, 87(3): 355-374.
[13] Talha M. Mandatory ESG disclosure and corporate performance: evidence from the EU CSRD. Corporate Social Responsibility and Environmental Management, 2026.
[14] Parhi A. Beyond the Balance Sheet: synergizing financial sustainability and information disclosure index with ESG performance metrics in Indian corporations. Available at SSRN 5559441, 2024.