绿色指数发布的股价效应研究——基于投资者情绪的视角

Research on the Stock Price Effect of the Release of Green Index ——From the Perspective of Investor Sentiment

近年来,承载着引导资金投向等多项使命,各类绿色指数相继发布,然而绿色指数是否真的对市场产生了影响有待验证。文章以2017-2019年绿色领先类公司股票数据为样本,采用事件研究法分析绿色指数发布后样本公司收益率的变化,借以探究绿色指数发布的股价效应。实证结果表明:在短期内,绿色指数发布对样本公司股价影响显著,指数发布后,公司的异常收益率在整体上显著为正。而长期来看,该股价效应不具备持续性,平均异常收益率会在长期回落。进一步,文章基于投资者情绪的视角,对该股价效应背后的影响机制做出了梳理。研究结果表明,绿色指数发布后,投资者情绪明显高涨,并且这种情绪对事件日后的异常收益有显著的正向影响。文章的研究为评价绿色指数发布的影响提供了良好的参考,同时对于内在机制的挖掘在一定程度上弥补了既有研究的不足。

In recent years, shouldering missions such as guiding investment, various green indexes have been released. However, whether the green index has really affected the market remains to be verified. In order to explore the stock price effect by the release of green index, this paper takes the stock data of green leading companies in 2017-2019 as a sample, and uses the event study method to analyze the change of the sample companies’ yield after the release of green index. The empirical results show that in the short term, the green index release has a significant impact on the sample companies’ stock prices. After the index is released, the companies’ abnormal return rate is significantly positive overall. In the long run, the stock price effect is not sustainable, and the average abnormal return rate will fall. Further, from the perspective of investor sentiment, the article sorts out the influence mechanism behind the stock price effect. The results show that after the release of the green index, investor sentiment is obviously high, and this sentiment has a significant positive impact on the excess return. The research in this paper provides a good reference for evaluating the effect of the green index release, and at the same time, the exploration of the internal mechanism makes up for the shortcomings of the past research to a great extent.