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Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market

School of Business and Law, Edith Cowan University, Joondalup WA 6027, Australia
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Sustainability 2018, 10(10), 3361; https://doi.org/10.3390/su10103361
Received: 28 July 2018 / Revised: 17 September 2018 / Accepted: 18 September 2018 / Published: 20 September 2018
(This article belongs to the Special Issue Risk Measures with Applications in Finance and Economics)
This paper examines the impact of firms’ sustainability engagement on their stock returns and volatility by employing the EGARCH and FIGARCH models using data from the major financial firms listed in the Chinese stock market. We find evidence of a positive association between sustainability engagement and stock returns, suggesting firms’ sustainability news release in favour of the market. Although volatility persistence can largely be explained by news flows, the results show that sustainability news release has the significant and largest drop in volatility persistence, followed by popularity in Google search engine and the general news. Sustainability news release is found to affect positively stock return volatility. We also find evidence that market expectation can be driven by the dominant social paradigm when sustainability is included. These findings have important implications for market efficiency and effective portfolio management decisions. View Full-Text
Keywords: corporate sustainability; news release; stakeholder theory; stock return volatility; EGARCH-m corporate sustainability; news release; stakeholder theory; stock return volatility; EGARCH-m
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MDPI and ACS Style

Zhang, J.; Djajadikerta, H.G.; Zhang, Z. Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market. Sustainability 2018, 10, 3361. https://doi.org/10.3390/su10103361

AMA Style

Zhang J, Djajadikerta HG, Zhang Z. Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market. Sustainability. 2018; 10(10):3361. https://doi.org/10.3390/su10103361

Chicago/Turabian Style

Zhang, Junru, Hadrian G. Djajadikerta, and Zhaoyong Zhang. 2018. "Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market" Sustainability 10, no. 10: 3361. https://doi.org/10.3390/su10103361

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