Impact of ESG performance on stocks liquidity

The aim of the paper is to analyze the impact of the ESG scores on stock liquidity measures in Europe, US and other countries by considering: ESG ratings greenwashing, size bias and belonging to the main indexes, geographical location bias, sectoral bias and time bias (regulation impact changes). Changes on stocks liquidity we compare with the changes on the index liquidity. As models of measuring stock liquidity are used: Lo and Wang (2000) models, expected turnover models, turnover market model and Beneish and Gardnor (1995) model. To the analysis were collected daily data related with the number of transactions from 2010 to 2025 (1st quarter) for stocks of listed companies from all over the world. Then there were used to create the average changes of the liquidity. As dependent variables were used ESG ratings presented by Refinitiv. As control variables were used factors presenting the financial condition of companies, i.e., liquidity, profitability, capital adequacy, assets quality, management quality and others. To the analysis were used LASSO and 2LASSO. The received results suggest the impact of changes of the greenwashed ESG ratings on the volume of transactions on the European market. The changes of the clean ESG scorings play a significant rule in the case of the developing markets. There are observed the geographical location, sectoral bias and time biases and their significant rules on the changes of the volume on the stock market. JEL classification: C55, E01, G24, K32, Q56