SCIENCE@home

Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market

Junru Zhang,H. Djajadikerta,Zhaoyong Zhang

Published 2018 in Sustainability

ABSTRACT

This paper examines the impact of firms’ sustainability engagement on their stock returns and volatility by employing the EGARCH and FIGARCH models using data from the major financial firms listed in the Chinese stock market. We find evidence of a positive association between sustainability engagement and stock returns, suggesting firms’ sustainability news release in favour of the market. Although volatility persistence can largely be explained by news flows, the results show that sustainability news release has the significant and largest drop in volatility persistence, followed by popularity in Google search engine and the general news. Sustainability news release is found to affect positively stock return volatility. We also find evidence that market expectation can be driven by the dominant social paradigm when sustainability is included. These findings have important implications for market efficiency and effective portfolio management decisions.

PUBLICATION RECORD

  • Publication year

    2018

  • Venue

    Sustainability

  • Publication date

    2018-09-20

  • Fields of study

    Business, Economics, Environmental Science

  • Identifiers
    DOI 10.3390/SU10103361
  • External record

    Open on Semantic Scholar

  • Source metadata

    Semantic Scholar

CITATION MAP

EXTRACTION MAP

CLAIMS

  • No claims are published for this paper.

CONCEPTS

  • No concepts are published for this paper.

REFERENCES

Showing 1-85 of 85 references · Page 1 of 1

CITED BY

Showing 1-31 of 31 citing papers · Page 1 of 1