环保政策对PM2.5概念股收益率影响的传导渠道检验——兼议政府质量和金融发展水平的调节效应

Transmission Channel Test of the Impact of Environmental Protection Policies on the Return of PM2.5 Concept Stocks:A Discussion On the Regulatory Effect of Government Quality and Financial Development Level

PM2.5相关环保政策的密集出台势必会对PM2.5相关行业企业产生重要影响,导致企业股价发生变化,进而带来PM2.5概念股收益率的变动,并对金融市场产生联动影响。本文从纯环保类和绿色产业类两种环保政策入手,探究不同环保政策对PM2.5概念股收益率的影响。我们发现,两种类型的环保政策均会对PM2.5概念股收益率产生显著影响;建立中介效应模型对投资者情绪和企业行为两种传导渠道进行检验,检验结果显示纯环保类环保政策主要通过企业行为这一渠道发挥作用,而绿色产业类环保政策则主要通过投资者情绪渠道来发挥作用,且两种渠道的反应速度存在差异;考虑到政府质量水平和金融发展水平会对政策实施效果和金融市场的反应程度产生影响,我们通过建立调节效应模型进行检验,发现两者对PM2.5概念股收益率均具有调节效应。因此,应充分发挥政府的引导作用,不断完善现有的环保政策体系。同时,继续推进金融市场建设,提高金融发展水平。

The intensive introduction of PM2.5 related environmental protection policies is bound to have a significant impact on enterprises in related industries,leading to changes in the stock prices of enterprises,thus bringing about changes in the yield of PM2.5 concept stocks,and exerting an impact on the financial market.Starting with two kinds of environ-mental protection policies,pure environmental protection policies and green industry poli-cies,to explore the impact of different environmental protection policies on the yield of PM2.5 concept stocks.The findings are as follows:Firstly,both kinds of environmental policies have a significant impact on the yield of PM2.5 concept stocks;Secondly,we establish an intermediary effect model to test the two transmission channels including inves-tor sentiment and enterprise behavior.It is found that pure environmental protection policies mainly play a role through enterprise behavior,while green industrial environmental pro-tection policies mainly play a role through investor sentiment;Thirdly,we put the government quality and financial development level into our consideration,which will have an impact on the policy implementation effect and the reflection degree of the financial market.We found that they have a regulatory effect on the return of PM2.5 concept stocks by estab-lishing a regulatory effect model.Therefore,we should give full play to the guiding role of the government and improve the existing environmental protection policy system.At the same time,we will continue to promote the construction of the financial market and im-prove the level of financial development.