Research on the effect of ESG performance on stock price synchronicity: Empirical evidence from China's capital markets

This study explores the effects of corporate ESG performance on stock price synchronicity, using data from Chinese listed companies from 2010 to 2021. We find strong evidence that high-level corporate ESG performance improves the stock price synchronicity. We address the endogeneity concerns using method such as PSM test. Furthermore, corporate ESG performance has a “noise reduction” effect. That is, ESG performance reduces information asymmetry and thus improves stock price synchronicity. In addition, the “noise reduction” effect of ESG performance is significantly higher in state-owned companies and companies with high investor trust.