A platform for research: civil engineering, architecture and urbanism
A platform for research: civil engineering, architecture and urbanism
Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market
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.
Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market
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.
Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market
Junru Zhang (author) / Hadrian Geri Djajadikerta (author) / Zhaoyong Zhang (author)
2018
Article (Journal)
Electronic Resource
Unknown
Metadata by DOAJ is licensed under CC BY-SA 1.0
Does the Stock Market Value Inclusion in a Sustainability Index? Evidence from Borsa Istanbul
| DOAJ | 2020
Does the marriage market sex ratio affect parental sex selection? Evidence from the Chinese census
| Online Contents | 2016