Research On The Carbon Finance Premium In China's Stock Markets

In the new era of development,the symbiotic relationship between the environment and the economy has become an urgent problem to be solved.The issue of green finance has also become an area that economists are paying more and more attention to.In the current international context of green sustainable development,the Kyoto Protocol,which aims to reduce carbon emissions at the international level,has emerged.Based on the analysis of the development of green finance,this paper studies the “carbon finance” module in detail,and links the macro-level carbon finance policy with the micro-level Chinese stock market,and empirically tests the “adding clean development mechanism project” as a quasi-natural experiment.This paper focuses on the development of carbon finance in the Chinese securities market.Specifically,based on the review of stock premium theory and the existing empirical research literature,this paper uses the daily data from January 2003 to December 2017 to conduct a detailed empirical study on whether there is a premium on carbon finance in China's stock market.It is analyzed whether the registration of CDM projects will have an impact on the company's stock return.In the inspection process,the DID double difference method was adopted,and the stocks of most carbon financial listed companies were used as the sample total,including five industries such as electric heating gas and water production and supply industries,and finally 775 listed companies were selected.An extended model of stock pricing model based on FamaFrench three-factor model is established.The whole sample was grouped based on different regions,property rights structure,industry and time,and the group regression results were obtained and compared with the full sample results.The main empirical conclusions of this paper are as follows: First,under the full sample,companies registered with CDM projects have lower stock returns than those of non-registered CDM projects,indicating that carbon financial policies have significant stock returns.The negative impact of the second region,the sub-regional empirical results show the same results as the full sample,the grouping results of the four regions show that the carbon financial policy has a negative impact on the carbon financial stock returns.The carbon financial premium effect in the northeast is higher than that of the west,and the carbon finance premium effect is the lowest in the central and eastern regions.Third,the empirical results of the sub-sector show that there is no positive premium effect on carbon finance policies for the power industry,manufacturing industry,comprehensive industry and wholesale and retail trade.However,for the listed companies in the transportation industry,there is a positive premium effect of carbon finance policy,contrary to the full sample results,but the absolute value of the carbon financial coefficient under each industry is almost the same.Fourth,the empirical results of the ownership of the enterprise shows that the impact of property rights structure on the premium of carbon financial stocks is not obvious,the financial factors of the two enterprises under the ownership of state-owned enterprises and private enterprises are significantly negative,and the carbon financial coefficient is very similar.The foreign capital and other enterprises' carbon financial factors are also significantly negative,but the coefficient is lower than the coefficient under the state-owned enterprises and private enterprises,which indicates that the stateowned enterprises and private enterprises have no property rights attributes.The carbon finance premium effect level is higher than the carbon finance premium in foreign capital and other enterprises.Fifth,the empirical results of the sub-period show that carbon finance policy has a positive premium effect on stock returns between 2003 and 2005.The carbon finance factors are not significant between 2006 and 2007.The empirical results from 2008 to 2017 indicate that carbon finance policies still have a negative impact on stock returns during this period.After comprehensive empirical analysis and theoretical analysis,this paper proposes policy recommendations: the state should increase supervision of the clean development mechanism on the one hand,and encourage the enterprises to participate more in the clean development mechanism on the other hand for the long-term development of green development.In this case,people should carefully choose the asset allocation to avoid falling into a speculative trap.