THE IMPACT OF SUSTAINABILITY COMMITMENT ON CRASH RISK IN ASEAN-4 COUNTRIES

Abstract

This study aims to analyze the impact of corporate sustainability commitment on stock market crash risk in ASEAN-4 countries during the period 2015-2019. This study examined 76 ASEAN-4 public companies using the ordinary least squares (OLS) regression analysis. Empirical results show that the corporate sustainability commitment has a negative and significant impact on the stock market crash risk, indicating that there was a tendency for the companies with a stronger sustainability commitment to experience a lower crash risk. In relation to the interaction between sustainability commitment and ownership structure associated to the crash risk, there is an interaction in the relationship between dependent and the independent variables, although the nature of the relationship is attenuated and significant. This study also employed the Fama-Macbeth regression method for robustness checking and the results confirm that the sustainability commitment has a negative and significant impact on the crash risk. These findings are expected to provide greater insights for investors regarding stock investment strategies by incorporating corporate sustainability concerns and the regulatory policy implications for market resilience during crises through the sustainability commitment. JEL: G32, G10.

Keywords

• sustainability commitment
• crash risk
• ownership structure