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.

Danni Yu, Tiantian Meng, Minyu Zheng, Rongyi Ma