企业绿色投资降低了股价波动性吗?

Does corporate green investment reduce stock price volatility?

日益严格的环境监管下的企业绿色投资行为,不仅是对环境责任的履行,也是稳定投资者信心、降低股价波动性,从而一定程度上抑制中国股市“暴涨暴跌”这一独特异象的有效手段。有别于以往多从机构投资者持股、媒体监督、公司透明度等角度探讨股价波动或崩盘风险预防因素研究,文章以中国环境污染问题主要责任者的重污染行业上市企业为研究样本,将手工收集的绿色投资数据与测算的股价波动性数据相结合,从绿色投资这一企业环境责任履行的独特视角出发,基于控制函数法和敏感性分析法实证检验了绿色投资与股价波动性的关系,进一步创新性地在控制内生性的基础上利用因果中介分析模型识别了绿色投资通过信息环境、机构投资者持股影响股价波动性的因果机制,并分析了不同产权性质下和不同市场化程度下企业绿色投资对股价波动性的异质性影响。研究发现:(1)企业绿色投资有助于显著降低股价波动性,从而起到稳定股价的作用;(2)存在企业绿色投资—信息环境改善、机构投资者持股增加—股价波动性降低的因果链条;(3)存在产权异质性,即相比于国有企业,非国有企业的绿色投资对股价波动性的降低效应更大;(4)不存在市场化程度差异的区域异质性,即归属于不同市场化程度地区的企业其绿色投资对股价波动性的降低效应不存在显著差异。文章建议,为降低股价波动性、促进股价平稳运行,企业应加大绿色投资力度,尤其是非国有企业需进一步强化绿色投资意识,同时政府应完善信息披露机制,以降低投资者获取企业绿色投资等环境信息的成本和难度。

Under increasingly stringent environmental supervision,corporate green investment behavior is not only the fulfillment of environmental responsibility,but also an effective means to stabilize investor confidence,reduce stock price volatility,and curb the unique anomaly of ’surge and collapse’ in China’s stock market to a certain extent.Unlike the previous studies that discussed the preventive factors of stock price fluctuations or crash risk mostly from the perspectives such as institutional investors’ shareholding,media supervision,company transparency,this article,taking the listed companies in the heavily polluting industries mainly responsible for environmental pollution as a sample and combining manually collected green investment data with measured stock price volatility data,empirically tested the relationship between green investment and stock price volatility with the control function approach and sensitivity analysis method from the unique perspective of green investment and the performance of corporate environmental responsibility.On the basis of controlling endogeneity,we further innovatively adopted the causal mediation analysis model to identify the causal mechanism that green investment affected the stock price volatility through the information environment and institutional investors’ shareholding,and analyzed the heterogeneous influence of corporate green investment on stock price volatility under different property rights and different degrees of marketization.The results showed that:(1) Corporate green investment could significantly reduce stock price volatility,thereby stabilizing stock prices.(2) There was a causal chain:enterprises made the green investment—information environment was improved and institutional investors’ shareholding was increased—stock price volatility was reduced.(3) There was heterogeneity of property rights:compared with state-owned enterprises,the green investment of non-state-owned enterprises had a greater effect on reducing stock price volatility.(4) There was no regional heterogeneity of the difference in the degree of marketization:there was no significant difference in the effect of green investment on reducing stock price volatility for enterprises in different market-oriented regions.The article suggests that in order to reduce the stock prices volatility and promote the stable operation of stock prices,enterprises should increase green investment,and non-state-owned enterprises must strengthen the awareness of green investment.At the same time,the government should improve the information disclosure mechanism to reduce the cost and difficulty of investors’ access to environmental information such as corporate green investment.