This study investigates whether the corporate sustainability performance (CSP) of companies in emerging markets (EM) influences their share prices and provides value-relevant information. It also examines the spatial interaction effect between share prices using spatial econometric methods to determine how changes in a company's CSP affect the share prices of peer companies within the same country or sector. The analysis covered 18 countries and 2,296 company-years (2013–2020), focusing on companies in the Morgan Stanley Capital International (MSCI) Emerging Markets Index. The findings of this study Moran's I and Geary's C statistics confirmed significant spatial dependence between share prices, validating the use of spatial analysis. The Spatial Durbin Model with fixed effects emerged as the best fit. CSP, excluding governance scores, is value-relevant for investors in EM. Positive and significant spatial interaction effects at the 1% level were observed for all models. Indirect effects were positive for environmental, social, and combined scores (country weight matrix) but negative for governance scores (sector weight matrix).
SAVAŞ et al. (Sun,) studied this question.