Table 5.
The Impact of ESG Indices on Stock Price Volatility During COVID-19: This table provides the results on relationship between ESG scores of Mainland CSI300 firms and stock price volatility during the Covid-19 outbreak period. volat[-1,39] is computed as the standard deviation of stock daily returns between the last trading day of Jan and the last trading day of Mar, 2020. Ln (BM) is the logarithm of book to market ratio. Ln (Size) is the logarithm of the market value equity two weeks prior to the start of the pandemic. Leverage is ratio of total liability to total assets. All of the regressions include controls variables, industry fixed effects (not reported for brevity). *, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively.
| volat[-1,39] | volat[-1,39] | volat[-1,39] | volat[-1,39] | |
|---|---|---|---|---|
| Variables | [1] | [2] | [3] | [5] |
| ESG_total | -0.029** | -0.007 | ||
| E | -0.004 | |||
| S | -0.006 | |||
| G | 0.006 | |||
| ESG_mngt | -0.004 | |||
| Leverage | -0.227 | 0.037 | 0.041 | 0.09 |
| Ln(BM) | -0.059** | -0.061** | -0.079** | |
| Ln(Size) | -0.033 | |||
| Constant | 4.233*** | 0.027 | -0.284 | 0.672 |
| Industry FE | yes | yes | yes | yes |
| Observations | 300 | 300 | 300 | 300 |
| R-squared | 0.31 | 0.195 | 0.19 | 0.211 |