ESG Scores and Short-Term Stock Price Volatility: Evidence from the NIFTY 50

This study examines the association of ESG performance with short-run stock price volatility during the period from 2019 to 2024 based on NIFTY 50 companies. The regression analysis yields a low R² value of 0.07 and statistically insignificant coefficients for environmental, social, and governance factors, showing that ESG scores have no significant impact on daily price movements. GARCH findings validate the volatility clustering in the index, especially in times of systemic shocks like the COVID-19 pandemic, but this volatility has nothing to do with ESG scores. The conclusions offer empirical evidence that ESG factors possess low short-run forecast ability within the Indian market setting, pointing towards the possibility that their function could be more significant in terms of improving long-run resilience and stability than minimizing day-to-day return volatility. These insights are important to investors, corporate managers, and policymakers for balancing sustainability considerations with market risk assessment.