| In the context of increasingly severe environmental problems,in order to guide capital investment in green industries,various green indexes have been released in recent years.These indices reflect the trend of the green market from multiple angles,and provide investors with a diversified benchmark for performance comparison.It can be said that they have become the theoretical vane.However,due to the late start of China’ s green index and less relevant empirical analysis,its actual impact on the market remains to be verified.This paper contains two parts.Above all,in order to explore the stock price effect by the release of green index,the first part 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 company’ s yield after the release of green index.Further,based on the perspective of investor sentiment,the second part uses Baidu search index to construct the proxy variable of investor sentiment,and builds regression model to sort out the influence mechanism behind the stock price effect.The empirical results show that in the short term,the green index release has a significant impact on the sample company’ s stock price.After the index is released,the company’ s 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 in the long run.The results based on investor sentiment 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. |
