Title

Does sustainability engagement affect stock return volatility? Evidence from the Chinese financial market

Document Type

Journal Article

Publisher

M D P I AG

Place of Publication

Switzerland

School

School of Business & Law

Comments

Originally published as: Zhang, J., Djajadikerta, H., & Zhang, Z. (2018). Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market. Sustainability, 10(10), 3361. Original article available here.

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

DOI

10.3390/su10103361

Access Rights

free_to_read

Share

 
COinS