ESG 성과가 주가의 회복 탄력성 및 변동성에 미치는 영향: COVID-19 위기기간을 중심으로

Although the COVID-19 pandemic differs in origin from traditional economic crises, its adverse effects on the global financial market are notably more pronounced. Following the initial emergence of COVID-19, stock market indices experienced a sharp decline, and stock prices became more volatile. This paper focuses on the role of Environmental, Social, and Governance (ESG) performance of Korean-listed firms during the financial crisis stemming from the COVID-19 pandemic. This paper uses the ESG score and rating data from the Korea Institute of Corporate Governance and Sustainability (KCGS). It divides the analysis period into crisis (1st quarter in 2020) and post-crisis (from 2nd quarter in 2020 to 1st quarter in 2021) periods. The results show that the stock price fall of firms with good ESG performance in the crisis period was higher than that of firms with poor performance. However, the stock price resilience of firms with good performance is markedly higher. Additionally, the price volatility of firms with good ESG performance is lower than that of firms with poor performance. This paper provides new empirical evidence that ESG activity plays an important role in stock price resiliency and volatility in Korea, even during financial crises like the one spawned by the COVID-19 pandemic.