银行业信用评级与环境、社会和治理得分之间的关系

IF 2.1 Q2 ECONOMICS Economies Pub Date : 2024-06-15 DOI:10.3390/economies12060152
Dimitrios Vortelinos, Angeliki N. Menegaki, Spyros Alexiou
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引用次数: 0

摘要

本文研究了国际银行的股票价格、信用评级和 ESG 分数之间的关系。首先,本文以年为频率描述了股票价格和 ESG 分数,以日为频率描述了股票价格和信用风险。通过配对年度相关性检验了(a)股票价格和信用评级收益与 ESG 分数收益之间的关系,以及(b)ESG 分数之间的关系,并检验了价格和信用评级收益之间的日相关性。此外,还使用格兰杰因果关系来研究以下各项之间的关系:(a) 价格和 ESG 分数年度回报;(b) 价格和信用评级每日回报;以及 (c) ESG 总分和支柱年度得分。本研究通过使用年度和每日数据频率进行详细的时间分析,为相关文献做出了重大贡献,这在该领域较为罕见。有证据表明,成对相关关系在统计和经验上具有重要意义。回归结果表明,在解释信用评级变化方面,ESG 分数的少数变化意义不大。本文的独特之处在于全面分析了 16 个细化的 ESG 分数,包括总分、支柱分数和子分数,从而从多方面了解特定 ESG 因素如何影响财务指标。我们发现 COVID-19 在所有研究问题中都具有重要意义。此外,本文还强调了 COVID-19 大流行对 ESG 分数、信用评级和股票价格之间关系的影响,及时揭示了危机时期 ESG 因素的重要性和波动性。然而,未来的研究还需要对这种关系进行更多的阐释。
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The Relationship between Credit Rating and Environmental, Social, and Governance Score in Banking
The present paper investigates the relationship between stock prices, credit ratings, and ESG scores for banks internationally. First, it describes stock prices and ESG scores at an annual frequency, as well as stock price and credit risk at a daily frequency. The relationships between (a) stock price and credit rating returns with ESG score returns and (b) among ESG scores are examined by pairwise annual correlation, and daily correlations are examined between price and credit rating returns. Furthermore, Granger causality is used to examine the relationships between the following: (a) price and ESG score annual returns; (b) price and credit rating daily returns; and (c) total and pillar annual ESG scores. This study makes a significant contribution to the literature by providing a detailed temporal analysis using both annual and daily data frequencies, which is relatively rare in the field. There is evidence of statistically and empirically important relations in the form of pairwise correlations. The regressions reveal a low significance of few ESG score changes in explaining credit rating changes. A unique aspect of this paper is the comprehensive analysis of 16 granular ESG scores, including overall scores, pillar scores, and sub-scores, allowing for a multi-faceted understanding of how specific ESG factors impact financial metrics. We found evidence of the significance of COVID-19 in all research questions. Additionally, this paper highlights the impact of the COVID-19 pandemic on the relationships between ESG scores, credit ratings, and stock prices, offering timely insights into the heightened importance and volatility of ESG factors during crisis periods. Future research needs to shed more light on this relationship, however.
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来源期刊
Economies
Economies Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
CiteScore
4.00
自引率
11.50%
发文量
271
审稿时长
11 weeks
期刊最新文献
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