ESG Reporting and Systemic Risk: Evidence from European Markets
ESG報告とシステムリスク：欧州市場からの証拠 (AI 翻訳)
Lupu, Iulia, Hurduzeu, Gheorghe, Ţigu, Gabriela, Coşoveanu, Georgiana, Filip, Radu Ion
🤖 gxceed AI 要約
日本語
本研究は、欧州株式市場におけるESG報告の質とシステム金融リスクの関係を分析した。報告品質を評価する新たな指標を開発し、600社のデータを用いて、上位四分位の企業が下位四分位と比較して有意に低いシステムリスク寄与を示すことを発見。特に市場ストレス時（COVID-19危機やウクライナ侵攻）にその効果が顕著であり、ESG報告の質が金融安定性に寄与することを示唆している。
English
This study analyzed the relationship between ESG reporting quality and systemic financial risk in European equity markets. A novel index evaluating reporting quality was developed using data from 600 STOXX Europe 600 companies from 2010-2023. Firms in the top quartile of reporting quality showed significantly lower systemic risk contributions than those in the bottom quartile, particularly during market stress like COVID-19 and the Ukraine invasion. The findings highlight the importance of credible ESG reporting for financial stability and support initiatives like CSRD and SFDR.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
本論文は、欧州市場におけるESG報告の質とシステムリスクの関係を実証的に示しており、日本市場への示唆として、SSBJや有価証券報告書におけるESG開示の質的向上が金融システムの安定に寄与する可能性を示している。日本の開示基準策定においても、報告の信頼性とリスク低減効果の連関を考慮する重要性を提示。
In the global GX context
This paper provides empirical evidence linking ESG reporting quality to reduced systemic risk, supporting global initiatives like CSRD and SFDR. For global GX context, it underscores that disclosure quality—not just quantity—matters for financial stability, which is relevant for ISSB and SEC climate disclosure rulemaking.
👥 読者別の含意
🔬研究者:This study offers a novel index for ESG reporting quality and demonstrates its link to systemic risk, contributing to the literature on disclosure and financial stability.
🏢実務担当者:Corporate sustainability teams can use these findings to justify investment in high-quality ESG reporting as a risk management tool.
🏛政策担当者:Regulators should note that improving ESG disclosure quality can enhance financial system resilience, supporting mandates like CSRD and SFDR.
📄 Abstract（原文）
This study examined the relationship between Environmental, Social, and Governance (ESG) reporting quality and systemic financial risk in European equity markets. A novel index was developed to evaluate reporting quality, combining three dimensions: the scope of disclosures, the extent of exposure to reputational controversies, and the degree of alignment between sustainability scores and reputational risk indicators. Using daily return data for 600 companies listed in the STOXX Europe 600 index between 2010 and 2023, systemic risk was assessed through conditional value-at-risk differentials, capturing each firm’s contribution to broader financial system vulnerabilities. The analysis adopted a comparative approach by grouping firms annually into high and low ESG reporting quality categories and comparing their average conditional value-at-risk contributions. Statistical tests consistently revealed that firms in the top index quartile exhibit significantly lower systemic risk contributions than those in the bottom quartile, particularly during market stress, such as the COVID-19 crisis and the Ukraine invasion. Quantile regression results further suggested that this mitigating effect was strongest in the upper tail of the risk distribution. The findings underscored the importance of credible reporting in improving financial stability and supporting regulatory initiatives that standardise disclosures across European capital markets, such as the Corporate Sustainability Reporting Directive and Sustainable Finance Disclosure Regulation frameworks.
🔗 Provenance — このレコードを発見したソース
- openaire https://doi.org/10.24818/ea/2025/70/869first seen 2026-05-05 19:08:26
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