An Empirical Research on the Impact of ESG Performance on Chinese Stock Market

With the rapid growth and spread of ESG-related investment, governments have introduced various policies related to environmental protection and sustainable development, and the attention to ESG-related investment concepts in China has significantly increased. Against this background, this study uses data from listed companies in the Chinese A-share market as a sample to empirically test the relationship between the ESG performance of companies and excess returns and volatility of stocks. The results show that: the ESG performance of a company is not significantly correlated with its stock excess returns, but negatively correlated with its stock price volatility. This means that good ESG performance can reduce stock price volatility, but has no definite impact on excess returns. The innovation of this study lies in applying ESG investment concepts to the Chinese market and attempting to analyze the rationality of Chinese ESG rating agencies using ESG ratings from Chinese institutions. This provides a new perspective for investors’ and enterprises’ ESG practice, which is conducive to future expansion and research, as well as the further development of ESG-related investment concepts in China.