南方科技大学知识苑(SUSTech KC): 新冠疫情冲击下ＥSＧ评级对股价及其波幅的影响研究

题名	新冠疫情冲击下ＥSＧ评级对股价及其波幅的影响研究
其他题名	The Impact of ESG Ratings on Stock Prices and Their Volatility under the Impact of COVID-19
姓名	蔡鹏飞
姓名拼音	CAI Pengfei
学号	12232981
学位类型	硕士
学位专业	0251 金融
学科门类/专业学位类别	02 经济学
导师	严硕
导师单位	商学院
论文答辩日期	2024-05-16
论文提交日期	2024-06-28
学位授予单位	南方科技大学
学位授予地点	深圳
摘要	在“双碳”目标及可持续发展的背景下，考虑整合环境（E）社会（S）企业管理（G）三方面投资理念运用到投资活动中去的中国公司逐渐增加。现有的国际国内研究表明，公司披露 ESG 信息对于信息不对称有抑制作用，并能够对公司的发展产生正面影响。然而，国内研究人员关于 ESG 评级指标对投资回报率的影响是正还是负的实证分析尚未达成一致的结论。而且对于 ESG 的抗风险能力在重大紧急的负面事件的冲击下的表现的研究不是很丰富。因此，本文希望对公司的 ESG 表现的抗风险、抗冲击作用进行深入研究，帮助投资者更深入地了解中国金融市场尤其是 A 股市场的状况，从而帮助各类投资者尤其是个人投资者更好地评估目标公司的综合价值及目标公司的股票价格的表现。 2019 年末突然爆发的新冠肺炎疫情，给中国各个行业的发展都带来了剧烈的震荡和影响。对于大部分行业而言，这种影响都是非正面的，所以怎样才能更好地防范和化解重大风险，成了大部分公司管理层都必须思考的问题。本研究专注于 2019 年中证 800 指数中那些已经获得华证指数评级的上市公司。我们特别选取 2020 年 1 月 23 日作为关键的时间节点，即突发负面事件——新冠肺炎疫情的冲击日。为了评估这些公司在这一事件影响下的股票价格表现，我们运用了事件研究法来计算它们的股票累计异常回报率，股票价格的波动是通过股票价格每日的涨幅的标准差来定义的，并将股票异常回报率和股票价格波动幅度作为因变量建立了实证检验模型。结果表明：（1）公司的 ESG 评级得分与其股票累计异常回报率呈正相关。说明了可持续发展相应指标表现越好的公司，其在面临负面影响时股票价格跌幅最小。（2）公司的 ESG 评级得分与其股票价格的波动幅度之间存在显著的负相关关系。即在面临负面影响时，ESG 评级得分越高的公司，其股价越稳定。在实证分析之后的模型稳健性检验中，证实了本文实证检验所得结果的稳健性。在综合实证分析的基础上，本文针对政府相关部门、企业及投资者这三大主体，提出了关于中国 ESG 体系建设及其进一步发展的具体建议。
其他摘要	In the context of the "dual carbon" goals and sustainable development, the number of Chinese companies considering integrating investment concepts from three aspects: environment, society, enterprise management, and G into their investment activities is gradually increasing. Existing international and domestic research indicates that the disclosure of ESG information by companies has a suppressive effect on information asymmetry and can have a positive impact on the development of the company. However, domestic researchers have not reached a consensus on whether the impact of ESG rating indicators on investment return is positive or negative through empirical analysis. Moreover, there is not much research on the performance of ESG's risk resistance ability under the impact of major emergency negative events. Therefore, this article aims to conduct in-depth research on the anti risk and anti shock effects of the company's ESG performance, to help investors gain a deeper understanding of the situation in the Chinese financial market, especially the A-share market, and to help various investors, especially individual investors, better evaluate the comprehensive value and stock price performance of the target company. The sudden outbreak of COVID-19 at the end of 2019 has brought severe shocks and impacts to the development of all industries in China. For most industries, this impact is not positive, so how to better prevent and resolve major risks has become a question that most company management must consider. This research takes the listed companies that have obtained the rating of China Securities Index among the constituent companies of the CSI 800 Index in 2019 as the research object, defines January 23, 2020 as the event date, and uses the cumulative abnormal return rate of stocks calculated by the event study method to measure the performance of the stock prices of the companies in question under the impact of the unexpected negative event - the COVID-19. The fluctuation of stock prices is defined by the standard deviation of the daily increase of stock prices, and establishes an empirical test model with the IIAbstract abnormal return rate of stocks and the volatility of stock prices as dependent variables. The results indicate that: (1) the company's ESG rating score is positively correlated with its cumulative abnormal return rate of stocks. This indicates that companies with better performance in sustainable development indicators have the smallest decline in stock prices when facing negative impacts. (2) There is a significant negative correlation between a company's ESG rating score and the volatility of its stock price. When facing negative impacts, companies with higher ESG ratings tend to have more stable stock prices. In the robustness test of the model after empirical analysis, the robustness of the results obtained from the empirical test in this article was confirmed. Based on the results of comprehensive empirical analysis, this article proposes suggestions for the construction and development of China's ESG system for three types of entities: government departments, companies, and investors.
关键词	公司 ESG 评级得分新冠肺炎疫情累计异常回报率
其他关键词	ESG Rating Score Of The Company COVID-19 Accumulated Abnormal Return Rate
语种	中文
培养类别	独立培养
入学年份	2022
学位授予年份	2024-06
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所在学位评定分委会	金融
国内图书分类号	F830.59
来源库	人工提交
成果类型	学位论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/771617
专题	商学院_金融系
推荐引用方式 GB/T 7714	蔡鹏飞. 新冠疫情冲击下ＥSＧ评级对股价及其波幅的影响研究[D]. 深圳. 南方科技大学,2024.

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