Business

ESG uncertainty, investor attention and stock price crash risk in China: evidence from PVAR model analysis

D. Yu, T. Meng, et al.

This study by Danni Yu, Tiantian Meng, Minyu Zheng, and Rongyi Ma delves into the intriguing dynamics of ESG uncertainty, investor attention, and stock price crash risk in China. While no direct link between ESG uncertainty and crash risk was found, a fascinating bidirectional relationship with investor attention emerged, suggesting valuable insights for enhancing market transparency and stability.

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Playback language: English

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Abstract

This study investigates the relationships among ESG uncertainty, investor attention, and stock price crash risk in China. Using data from six major Chinese ESG rating agencies to create an ESG Uncertainty Index and a Panel Vector Autoregression (PVAR) model, the study finds no direct causal relationship between ESG uncertainty and stock price crash risk. However, it reveals bidirectional Granger causality between ESG uncertainty and investor attention, and between stock price crash risk and investor attention. Investor attention mediates the relationship between ESG uncertainty and stock price crash risk. The study suggests enhancing ESG information disclosure to improve market transparency and stability.

Publisher

Humanities and Social Sciences Communications

Published On

Sep 06, 2024

Authors

Danni Yu, Tiantian Meng, Minyu Zheng, Rongyi Ma