ESG评分分歧对股价波动率的影响
The Impact of ESG Rating Disagreement on Stock Price Volatility
DOI: 10.12677/wer.2026.153039, PDF,    科研立项经费支持
作者: 张 彤, 吴 昱*：广州商学院经济学院，广东 广州；广州商学院数字经济研究中心，广东 广州；杨雯蔚：广州商学院经济学院，广东 广州
关键词: ESG；评分分歧；股价波动率；异质性；ESG； Rating Disagreement； Stock Price Volatility； Heterogeneity
摘要: ESG评级分歧可能会导致投资者对公司价值的判断出现不确定性从而带来股价波动。本文选取中国2011-2020年A股上市公司作为研究对象，采用国内华证和国外彭博社的ESG评级数据，从股价日回报标准差和极差两个角度估计评级分歧对股价波动的影响。结果显示ESG评级分歧对股价波动率有较为显著的正向影响。制造业企业的股价波动对评级分歧的敏感度更高，而评级分歧虽会增加软件与信息行业的股价日常波动，但却会在极值角度缓和其股价变化的激烈程度。
Abstract: Disagreements in ESG ratings may lead to uncertainty in investors’ judgment of a company’s value, resulting in fluctuations in stock prices. This paper selects Chinese A-share listed companies from 2011 to 2020, using ESG rating data from both Huazheng and Bloomberg, then estimates the impact of ESG rating disagreement on stock price fluctuations from two perspectives, standard deviation and range of stock price daily return. The results show that ESG rating disagreement has a relatively significant positive impact on stock price volatility. Price volatilities of companies in manufacturing industry are more sensitive to ESG rating disagreement. While ESG rating disagreement may increase stock price fluctuations of companies in the software and information industries, it also alleviates the intensity of the stock price changes of these companies at extreme levels.
文章引用：张彤, 杨雯蔚, 吴昱. ESG评分分歧对股价波动率的影响[J]. 世界经济探索, 2026, 15(3): 380-388. https://doi.org/10.12677/wer.2026.153039

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