The impact of environmental, social and governance (ESG) scores on stock market: evidence from G7 countries

IF 3 Q2 MANAGEMENT Journal of Global Responsibility Pub Date : 2023-11-21 DOI:10.1108/jgr-04-2023-0070
Mustafa Kevser, Mert Baran Tunçel, Samet Gürsoy, Feyyaz Zeren
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Abstract

Purpose This study aims to examine the effect of environmental, social and corporate governance (ESG) scores on stock markets for the period from February 2018 to December 2022 for G7 countries. Even though ESG is an established area of investigation, prior research has paid inadequate attention to the nexus of ESG scores and stock markets in G7 (Germany, USA, UK, Italy, France, Japan and Canada) countries. Design/methodology/approach This study covers G7 countries and uses a data set, which includes ESG scores and stock market returns from reporting channels including financial websites, and international indexes, between February 2018 and December 2022. Cross-section dependency and homogeneity tests were used with Konya (2006) panel causality test to investigate the relations of ESG scores and stock markets, and the research also conducted a separate analysis for each sub-dimension. Homogeneity/heterogeneity tests were also carried out in the research. Findings The findings suggest that causality from ESG scores to stock market (DAX) was determined only for Germany. Accordingly, it is understood that German companies have started to implement corporate social responsibility and ESG practices in their management strategies and reporting. These findings offer important implications for those who are considering investing in G7 countries, whether or not to consider ESG scores. Originality/value In this context, the research contributes to the existing literature on the relationships between ESG scores and stock markets, which are seen as a vital tool to meet the expectations of stakeholders.
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环境、社会和治理 (ESG) 分数对股市的影响:七国集团国家的证据
目的 本研究旨在考察 2018 年 2 月至 2022 年 12 月期间 G7 国家的环境、社会和公司治理(ESG)得分对股票市场的影响。尽管环境、社会和公司治理是一个既定的研究领域,但之前的研究对 G7(德国、美国、英国、意大利、法国、日本和加拿大)国家的环境、社会和公司治理得分与股票市场之间的关系关注不足。 设计/方法/途径 本研究涵盖 G7 国家,使用的数据集包括 2018 年 2 月至 2022 年 12 月期间的 ESG 分数和来自金融网站等报告渠道的股市回报以及国际指数。采用截面依存性检验和同质性检验,并结合 Konya(2006)的面板因果检验来研究 ESG 分数与股票市场的关系,研究还对每个子维度进行了单独分析。研究还进行了同质性/异质性检验。 研究结果 研究结果表明,ESG 分数与股票市场(DAX)之间的因果关系仅在德国得到确定。因此,可以理解为德国公司已开始在其管理战略和报告中实施企业社会责任和 ESG 实践。这些发现对那些考虑在 G7 国家投资的人来说,是否考虑 ESG 分数具有重要意义。 原创性/价值 在此背景下,本研究为有关 ESG 分数与股票市场之间关系的现有文献做出了贡献,股票市场被视为满足利益相关者期望的重要工具。
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来源期刊
CiteScore
5.40
自引率
18.80%
发文量
22
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