How Does Corporate ESG Performance Affect Stock Return Volatility? --An Empirical Study Based on A-share Listed Companies

Under the backdrop of the dual-carbon policy, an increasing number of investors consider ESG performance as an essential basis for evaluating a companys value and risk. While ESG performance has been correlated with stock volatility, the causal relationship between the two remains unclear. This paper analyzes the causal relationship and mechanisms between ESG ratings and stock return volatility using annual panel data from A-share listed companies (20132023) and explores the mediating effect of information asymmetry. The results indicate that comprehensive ESG evaluations reduce stock return volatility and stabilize prices by mitigating information asymmetry. Additionally, strong equity check-and-balance mechanisms further suppress volatility, demonstrating that higher equity checks and balances enhance ESGs inhibitory effect on stock volatility.