Har ESG-score en effekt på aksjeprisvolatilitet i det Nordiske markedet? En empirisk studie

This study analyses in several dimensions the effect of ESG-score on stock price volatility in the Nordic countries during the time period 2010-2019. The effect of ESG-score on stock price volatility has been studied both with ESG-score in aggregate and with each ESG-score pillar separately, namely the E-score, S-score and G-score. This study also analyses industry specific and country specific differences in the effect of ESG-score on stock price volatility in the Nordic countries. Comprehensive screening in Refinitiv followed by meticulous processing in R-Studio resulted in an unbalanced panel data set. All firms with available ESG-score and necessary financial parameters in Refinitiv as of 01.02.2021 listed on the Nordic exchanges were included in the study. The data sample consists of 259 firms listed on the Norwegian, Swedish, Danish and Finnish exchanges. Through scrutinizing the data sample against the assumptions of the classical OLS model, the random effects model proved to be the best estimator for the regression coefficients. A causal relationship between ESG-score and stock price volatility has been found in several dimensions in the Nordic countries during the time period 2010-2019. ESG-score and E-score are found to negatively impact stock price volatility, while G-score and S-score failed to demonstrate an impact on stock price volatility. There are also industry specific and country specific differences in the effect of ESG-score on stock price volatility in the Nordic countries. The effect of ESG-score, S-score and G-score is negatively greater in Sweden and positively greater in Norway respectively relative to the other Nordic countries, while the effect of E-score is negatively greater in Denmark relative to the other Nordic countries. The effect of ESG-score is positively greater in industry sector industrial and negatively greater in industry sectors bank and ”other”. The effect of E-score is positively greater in industry sector industrial and negatively greater in industry sector ”other”. The effect of S-score is positively greater in industry sector industrial and negatively greater in industry sector ”other”. The effect of G-score is positively greater in industry sector industrial and negatively greater in industry sectors insurance and ”other”. The statistically significant negative relationship between ESG-score and stock price volatility found in the Nordic countries in the time period 2010-2019 may have vast implications, in which investors, businesses, firms and politicians are served, other than ethical reasons, a rationale to implement ESG-measures