我国股票市场的绿色有效性——基于2003-2012年环境事件市场反应的实证分析

Green-Efficiency of Stock Market in China:Stock Markets Reaction to 2003-2012 Environmental Events

为系统研究我国股市对上市公司环境事件反应的特点与程度,分析我国股票市场绿色的有效性,本文以我国2003-2012年3月期间上市公司149起环境事件为样本,运用事件研究法,对环境事件的市场反应进行了实证研究。统计结果显示我国上市公司仍然存在较为严重的信息披露不足问题,且因环境事故引发的赔偿和罚款相对于其导致的经济损失来说数额较小。对累积异常收益率变化的分析表明,总体上我国上市公司环境事故和未通过环保核查等负面信息的披露还没有成为股票价格下行的显著信号,但对化工行业企业与国有企业的冲击较为强烈且更多地体现为长期影响,工业"三废"污染影响程度略高于其他类型事件;2008年后环境事件对股价的负面效应明显增强。横截面数据的回归分析表明,规模大、事态恶劣的环境事故对股价的冲击远大于小事故,但投资者对事故类型与肇事公司规模等因素并不敏感。本文最后基于实证分析结果对提高股票市场的绿色有效性提出了相应的政策建议。

This paper takes 149 sample environmental events between 2003 and March 2012, using event study method to analyze whether environmental events are associated with an abnormal volatility of stock returns. The results show that,China stock market is not Green-Efficient as a whole, and environmental events cannot be the significantly negative signal for stock prices. While the CAR of industrial waste pollution, chemical industry and state-owned enterprises are more significant than those of their counterparts. Further test suggests that environmental events have significantly negative effect on stock prices after 2008. The regression of cross-sectional data reveals that major and serious accidents have more impacts on the stock prices than minor ones, while investors are not sensitive to accident and enterprise type. Therefore, the authors suggest improving responsibility tracking system as well as information disclosure system, in order to increase environmental default costs of enterprises and cultivate rational investment philosophy.