環境・社会・ガバナンス（ESG）パフォーマンスと株式リターンのボラティリティ

Unofficial AI-generated summary based on the public title and abstract. Not an official translation.

🔬研究者:Provides empirical evidence on ESG-volatility linkage in an emerging market, highlighting the need for longer-term studies and more granular ESG data.

🏢実務担当者:Limited direct applicability for corporate sustainability teams, but investors may note the weak short-term link between ESG and volatility.

🏛政策担当者:Suggests that mandatory ESG disclosure alone may not immediately impact market risk, implying complementary policies for long-term stability.

<p>本研究考察了印度股票市场中构成NIFTY 50指数的企业的环境、社会和治理（ESG）表现与股票收益波动性之间的关系。使用涵盖2021年1月至2025年12月的日度股票价格数据，通过GARCH(1,1)模型估计企业层面的波动性，得出平均条件方差、对数波动性和波动性持续性（α + β）的度量指标。源自印度国家证券交易所披露的ESG评分作为横截面回归分析中的主要解释变量。</p> <p>描述性统计显示，NIFTY 50企业的ESG评分集中在狭窄区间（58–80），反映出印度大型企业可持续性披露实践的趋同性。GARCH估计确认了金融收益序列的典型特征，包括波动性聚集和接近单位根的持续性。相关性分析表明ESG评分与对数波动性之间存在弱负相关关系；然而，跨多种波动性规格的回归模型得出统计上不显著的ESG系数，表明在该样本中ESG表现并未显著解释短期股票收益波动性的横截面差异。</p> <p>这些发现意味着，尽管ESG披露在印度已日益制度化——受商业责任与可持续性报告（BRSR）授权等监管框架推动——其对短期市场风险的影响仍然有限。研究结果有助于新兴市场中ESG与金融风险的初步实证文献，并表明可持续性实践可能主要通过长期渠道影响企业成果，包括治理质量、利益相关者信任和声誉资本，而非通过收益波动性的即时变化。未来研究纳入更长的时间跨度、细化的ESG支柱层面评分以及更广泛的样本，可能对可持续性表现与金融市场风险之间的动态关系提供更丰富的见解。</p>

AI 翻訳（deepseek-v4-flash）。 正確を期す場合は下の原文を参照してください。

<p>This study examines the relationship between Environmental, Social, and Governance (ESG) performance and stock return volatility among firms constituting the NIFTY 50 index in the Indian equity market. Using daily stock price data spanning January 2021 to December 2025, firm-level volatility is estimated through GARCH(1,1) models, yielding measures of average conditional variance, logarithmic volatility, and volatility persistence (α + β). ESG scores sourced from National Stock Exchange of India disclosures serve as the primary explanatory variable in cross-sectional regression analysis.</p> <p>Descriptive statistics reveal that ESG scores among NIFTY 50 firms cluster within a narrow band (58–80), reflecting convergent sustainability disclosure practices among large-cap Indian companies. GARCH estimation confirms canonical features of financial return series, including volatility clustering and near-unit-root persistence. Correlation analysis indicates a weak negative association between ESG scores and logarithmic volatility; however, regression models across multiple volatility specifications yield statistically insignificant ESG coefficients, suggesting that ESG performance does not significantly explain cross-sectional variation in short-term stock return volatility within this sample.</p> <p>These findings imply that while ESG disclosure has become increasingly institutionalized in India—propelled by regulatory frameworks such as the Business Responsibility and Sustainability Reporting (BRSR) mandate—its influence on short-term market risk remains limited. The results contribute to the nascent empirical literature on ESG and financial risk in emerging markets and suggest that sustainability practices may affect corporate outcomes primarily through long-term channels, including governance quality, stakeholder trust, and reputational capital, rather than through immediate changes in return volatility. Future research incorporating longer time horizons, granular ESG pillar-level scores, and broader samples may yield richer insights into the dynamics between sustainability performance and financial market risk.</p>

• openaire https://doi.org/10.2139/ssrn.6618218first seen 2026-06-11 05:14:01 · last seen 2026-09-22 04:30:07