Capital Market Openingand Quality of Enterprise Environmental, Social and Governance Information Disclosure

Abstract

Abstract: Environmental, social, and governance (ESG) investments are important means for China to achieve green development, inclusive growth, and consolidating its international image as a responsible major country. At present, the disclosure of environmental, social and governance information in China is still not standardized, and ambiguity and selective disclosure behavior are still widely existed, seriously restricting the development of ESG investment practices. This paper conducts a double difference regression analysis based on the annual data of A-share listed companies from 2011 to 2020. The findings show that the opening of the Shanghai (Shenzhen)-Hong Kong Stock Connect can significantly improve the quality of the environmental, social, and governance information disclosure of the listed companies. In addition, the empirical results of time heterogeneity indicate that the improvement of information disclosure quality under the Shanghai (Shenzhen)-Hong Kong Stock Connect trading system becomes increasingly significant over time. The mechanism analysis reveals that the Shanghai (Shenzhen)-Hong Kong Stock Connect trading system can improve the quality of ESG information disclosure of listed companies through“foot voting”and the use of“external supervision”effects. Further research has found that while playing an external supervisory role, the Shanghai (Shenzhen)-Hong Kong Stock Connect trading system also plays a role in optimizing the external supervisory environment of China’s A-share market. The above analysis indicates that in the early stages of ESG ecological environment construction, China should fully attach importance to the important role of capital market openness in the quality of ESG information disclosure, and promote China’s ESG ecological environment construction through planned and step-by-step capital market openness.

Key words: quality of ESG information disclosure, Shanghai(Shenzhen)-Hong Kong Stock Connect, voting with feet, external supervision

CLC Number:

F832

BA Shu-song, CHAI Hong-rui, ZHAO Wen-yao, ZHANG Shuai. Capital Market Openingand Quality of Enterprise Environmental, Social and Governance Information Disclosure[J]. Contemporary Finance & Economics, 2023, 0(7): 56-68.

References

[1] Bushman R.M., Piotroski J. D., Smith A. J. What Determines Corporate Transparency?[J]. Journal of Accounting Research, 2004, 42(2): 207-252.
[2] 陈运森, 黄健峤.股票市场开放与企业投资效率——基于“沪港通”的准自然实验[J]. 金融研究, 2019, (8): 151-170.
[3] 王艳艳, 于李胜, 安然. 非财务信息披露是否能够改善资本市场信息环境?——基于社会责任报告披露的研究[J]. 金融研究, 2014, (8): 178-191.
[4] 步丹璐, 贺晨, 文彩虹. 外资持股与企业社会责任表现[J]. 会计研究, 2021, (2): 86-101.
[5] Edmans A. Blockholder Trading, Market Efficiency,Managerial Myopia[J]. Journal of Finance, 2009, (6): 2481-2513.
[6] Avramov D., Cheng S., Lioui A., et al.Sustainable Investing with ESG Rating Uncertainty[J]. Journal of Financial Economics, 2022, 145(2): 642-664.
[7] Witt M.A., Lewin A. Y. Outward Foreign Direct Investment as Escape Response to Home Country Institutional Constraints[J]. Journal of International Business Studies, 2007, 38(4): 579-594.
[8] Bekaert G., Harvey C.R., Lundblad C. Does Financial Liberalization Spur Growth?[J]. Journal of Financial Economics, 2005, 77(1): 3-55.
[9] Bae K.H., Ozoguz A., Tan H., et al. Do Foreigners Facilitate Information Transmission in Emerging Markets?[J]. Journal of Financial Economics, 2012, 105(1): 209-227.
[10] Kacperczyk M., Sundaresan S., Wang T.Do Foreign Institutional Investors Improve Price Efficiency?[J]. The Review of Financial Studies, 2021, 34(3): 1317-1367.
[11] Grinblatt M., Keloharju M.The Investment Behavior and Performance of Various Investor Types: A Study of Finland’s Unique Data Set[J]. Journal of Financial Economics, 2000, 55(1): 43-67.
[12] 钟凯, 孙昌玲, 王永妍, 王化成. 资本市场对外开放与股价异质性波动——来自“沪港通”的经验证据[J]. 金融研究, 2018, (7): 174-192.
[13] 钟覃琳, 陆正飞. 资本市场开放能提高股价信息含量吗——基于“沪港通”效应的实证检验[J]. 管理世界, 2018, (1): 169-179.
[14] Pedersen L.H., Fitzgibbons S., Pomorski L. Responsible Investing: The ESG-efficient Frontier[J]. Journal of Financial Economics, 2021, 142(2): 572-597.
[15] 谢红军, 吕雪. 负责任的国际投资:ESG与中国OFDI[J]. 经济研究, 2022, (3): 83-99.
[16] Li Z., Wang P., Wu T.L. Do Foreign Institutional Investors Drive Corporate Social Responsibility? Evidence from Listed Firms in China[J]. Journal of Business Finance & Accounting, 2021, 48(1-2): 338-373.
[17] Gormley T.A., Kim B. H., Martin X. Do Firms Adjust Their Timely Loss Recognition in Response to Changes in the Banking Industry?[J]. Journal of Accounting Research, 2012, 50(1): 159-196.
[18] Brochet F., Miller G.S., Naranjo P., et al. Managers’ Cultural Background and Disclosure Attributes[J]. The Accounting Review, 2019, 94(3): 57-86.
[19] Admati A.R., Pfleiderer P. Forcing Firms to Talk: Financial Disclosure Regulation and Externalities[J]. The Review of Financial Studies, 2000, 13(3): 479-519.
[20] Aggarwal R., Erel I., Ferreira M., et al.Does Governance Travel around the World? Evidence from Institutional Investors[J]. Journal of Financial Economics, 2011, 100(1): 154-181.
[21] Admati A.R., Pfleiderer P. The “Wall Street Walk” and Shareholder Activism: Exit as a Form of Voice[J]. The Review of Financial Studies, 2009, 22(7): 2645-2685.
[22] Edmans A., Manso G.Governance through Trading and Intervention: A Theory of Multiple Blockholders[J]. The Review of Financial Studies, 2011, 24(7): 2395-2428.