ESG rating divergence, information disclosure, and stock price volatility: evidence from Chinese listed companies

ABSTRACT

This study utilizes ESG rating data from nine rating agencies covering Chinese A-share listed companies from 2006 to 2022 to construct a more rational measurement of ESG rating divergence and examines its impact on stock price volatility. The results indicate that excessive ESG divergence worsens stock price volatility, but this linkage between divergence and volatility is mitigated when corporate information disclosure compliance improves.

KEYWORDS:

• ESG rating divergence
• stock price volatility
• information disclosure
• listed companies

JEL CLASSIFICATION:

• G12
• G34
• G38

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Funding

We acknowledge financial support from the National Natural Science Foundation of China [Grant No. 72103022] and China Postdoctoral Science Foundation [Grant No. 2020TQ0048 and No. 2021M700460]. The authors declare that they have no relevant or material financial interests that relate to the research described in this paper.