Investor reaction to ESG news sentiment: evidence from South Africa

Purpose Utilising a database that distinctly classifies firm-level ESG (environmental, social and governance) news sentiment as positive or negative, the authors examine information flow between two types of stock returns for 20 companies listed on Johannesburg Stock Exchange 2015 2021. Design/methodology/approach The use Shannonian transfer entropy to whether significantly flows from modified event study analysis establish how prices react changes in sentiment. Findings Using entropy, find majority studied, while only minority exhibit significant negative returns. Furthermore, study’s findings show (negative) abnormal date beyond both upgrades downgrades Originality/value This is among first an African context investigate impact market at high frequencies.