| Abstract [eng] |
The main purpose of this work is to identify the differences between the effects of economic factors of companies with high and low ESG scores, considering the benefits of cross-sector analysis. Three main parts are distinguished in the work: analysis of scientific literature, description of the research methodology, and interpretation of the obtained results and presentation of conclusions. The literature review revealed a scholarly debate on the relationship between ESG scores and the economic relationship in analyzing stock market stability. Some studies confirm the lower economic risk of shares of companies with a higher ESG score. On the other hand, the Covid-19 studies present contradictions regarding stability differences in ESG score groups. It is observed that the cross-sector analysis based on the economic basis can be extended by considering the ESG scores. After analysing the scientific literature, a study of the stock market of the Northern European countries - Finland, Denmark, Sweden - was carried out, which includes several stages: general ESG analysis and cross-sector analysis. The main purpose of the study is to find out whether the sensitivity of the stock price to economic factors depends on the ESG score. Stocks return volatility analysis, paired sample test, correlation, panel regression analysis and related statistical tests were performed to achieve this objective. The conducted research confirmed the stronger impact of inflation, interest rate, political uncertainty, consumer and business confidence indices on the shares prices of companies with a lower ESG score. A more detailed cross-sectoral analysis also provides useful results: stronger inflation and interest rate effects are found for defensive sectors. To complement the traditional cross-sector analysis, a cross-sector study based on the ESG score was conducted, the results of which showed that the gaps between high and low ESG scores are different between sectors. The conclusions and suggestions summarize the most important results of the literature analysis and the research conducted. It is hoped that the results of the study will be useful for managers of listed companies in the formulation of ESG policy and understanding its benefits, as well as for investors seeking the economic stability of shares. |
