Abstract
Since 2020, the scale of ESG responsible investment in China has developed rapidly, and during the epidemic, the city was affected by the closure of roads. Although it is difficult to influence consumers' choice in the product market in the short term, investors in the stock market can "vote with their feet" in a timely manner, so how do investors perceive the ESG rating of the company? What is their perception of a company's ESG rating? This paper examines the role of ESG ratings in China's A-share market during the crisis, using the Xin Guan epidemic as an entry point, and concludes that (1) ESG ratings are significantly and positively correlated with short-term cumulative stock excess returns, and that company carbon intensity plays a moderating role in ; (2) in the long run, higher ESG ratings reduce stock price volatility; and (3) the epidemic enhances the correlation between ESG ratings and company stock price volatility. correlation level between ESG ratings and company share price volatility.
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