Research On The Relationship Between ESG Performance And Stock Price Crash Risk Of Chinese Listed Companies

In recent years,the stock market in the global capital market has been turbulent,and the stock price crash is a phenomenon in which the stock price suddenly falls sharply in the financial market,which seriously endangers the healthy and stable development of the securities market.Therefore,the study of the influencing factors of stock price crash is helpful for investment decision-making and risk management,which is a hot topic of scholars at home and abroad in recent years.ESG investment standards have become a hot research topic in recent years.ESG ratings integrate the performance of companies in three aspects:environmental responsibility,social responsibility and corporate governance.Therefore,it is of great reference significance to study the relationship between corporate ESG performance and stock price crash risk.This thesis takes my country’s A-share listed companies as the research object,and uses the ESG rating scores disclosed by Shanghai Huazheng Index Information Service Co.,Ltd.to study the relationship between the listed companies’ ESG rating scores and stock price crash risk.On this basis,the similarities and differences of E(environment)rating score,S(social)rating score and G(corporate governance)rating score on the risk of stock price crash are studied respectively.Selecting the negative skewness of weekly earnings and the volatility of stock price fluctuations as variables to measure the risk of a company’s stock price crash,through regression analysis,it is concluded that under the ESG score of Huazheng,the company’s ESG rating score,E score,S score,and G score are related to the stock price crash risk.There is a significant negative correlation between them,and this conclusion still holds after adding a series of control variables.In addition,this thesis also compares and analyzes the ESG score data of Huazheng and Bloomberg,and explores the difference in the impact of ESG data of different rating agencies at home and abroad on the risk of stock price crash.In addition,this thesis further analyzes and tests the robustness of the relationship between Huazheng ESG score data and stock price crash risk.The results of further analysis found that:in the degree of information asymmetry,the significance of the negative correlation between ESG composite score and stock price crash risk slightly increased with the increase of information asymmetry,indicating the relationship between ESG score and stock price crash risk.The performance of companies with higher information asymmetry is relatively more obvious,but the improvement is not much;in terms of company size,the negative correlation between ESG score and stock price crash risk is significant in the group of medium-and highcap companies,but not in the group of low-cap companies;under different industry classifications,the negative correlation between ESG scores and stock price crash risk is most significant in manufacturing and information technology services.Finally,the thesis tests the robustness of the main conclusions by using a longer prediction window,adding information transparency indicators as control variables,and using the standard error algorithm of double clustering.The results show that the impact of ESG score and E score on stock price crash risk is still significant when the forecast window is two years,and it is no longer significant when the forecast window is three years;the regression results are still stable after adding information transparency indicators and using a more robust standard error algorithm.The research in this thesis shows that the higher the ESG score of a company,the lower the risk of its future stock price crash,but the predictive ability varies among different ESG rating agencies and company types.