关键词: ESG, 金融市场稳定, 系统性风险, 颗粒经济, 信息溢出

Abstract: Drawing on the granular economics framework, we integrate data from ten Chinese local and international ESG rating agencies to examine the dual effects of corporate ESG performance on financial market stability. We find that higher core ESG ratings reduce firms’ idiosyncratic tail risk while simultaneously strengthening their systemic connectedness with the broader market. Mechanism analyses show that improved corporate compliance and stronger financial conditions are the key channels through which ESG performance mitigates idiosyncratic tail risk, whereas greater homogeneity in investor composition is the primary driver of enhanced systemic connectedness. Improvements in core ESG ratings not only convey salient information about firms’ internal governance and financial position, but also attract ESG-oriented investors, thereby increasing the homogeneity of their investor base. Our findings reveal a clear methodological divergence: domestic ESG rating agencies emphasize firms’ alignment with national development strategies as a substantive manifestation of ESG performance, thereby primarily mitigating idiosyncratic tail risk. By contrast, international rating agencies play a more pronounced role in amplifying systemic connectedness. These findings suggest that, in promoting corporate sustainable development, policymakers should fully consider its dual implications for financial market stability, so as to better reconcile high-quality economic development with financial risk prevention.

Key words: ESG, financial market stability, systemic risk, granular economics, information spillover