Tác động ESG đến hiệu suất tài chính dưới góc độ thị trường của các doanh nghiệp sản xuất niêm yết tại Việt Nam
DOI:
https://doi.org/10.24311/jabes/2026.37.6.7Keywords:
MSCI, Hoạt động giao dịch, Biến động giá cổ phiếu, Tỷ suất sinh lợi vượt trội, ESGAbstract
This study examines the impact of ESG disclosure scores on the market-based financial performance of 110 listed manufacturing firms in Vietnam over the period from May 2022 to April 2025. Stock performance is captured through three dimensions that reflect investor responses in the capital market: excess return, volatility and trading activity. The ESG disclosure score is self-constructed based on the MSCI ESG Ratings methodology and adapted to the information disclosure characteristics of the Vietnamese market. Methodologically, the study employs panel data regression, using fixed effects (FE) and panel-corrected standard errors (PCSE) as the main estimation approaches. The empirical results show that ESG disclosure scores have a statistically significant effect in reducing stock price volatility risk, but no statistically robust evidence is found for the effect of ESG disclosure scores on excess return or stock trading activity. These findings imply that, in an emerging market such as Vietnam, ESG primarily serves as a risk management mechanism that helps stabilize stock prices rather than affecting excess returns or trading activity.
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