My Country's Stock Market Reacts To The Announcement Of ESG's Leading Stock Index

ESG stands for environment,social responsibility and corporate governance,which is an index for evaluating sustainable development capabilities of enterprises.With the transformation of China's economy and the internationalization of A-shares,this investment philosophy has received widespread attention.In order to promote the development of ESG investment,China has successively launched a series of ESG-related theme indexes.The ESG index can reflect the ESG performance of enterprises,so as to improve the efficiency of resource allocation and provide more investment products for investors.Studying the market effect of the announcement of the ESG index is of great significance to the development and practice of ESG theory.This article mainly adopts the event study method,taking June 5,2019-the announcement date of the ESG leading index as the event day,and selecting listed companies included in the ESG leading index as the research sample,Examining the changes in the stock prices of constituent stocks caused by the announcement of the index,And the conclusion of this paper is still valid after changing the test method and the estimation model of normal return.In order to further explore other factors that affect the abnormal return rate,this paper selects the factors that may affect the abnormal return rate for cross-sectional regression.Through empirical research,this article draws the following conclusions:(1)The market has made a certain positive response to the announcement of the ESG leading index,indicating that investors have a certain degree of attention and recognition for the ESG performance of the company.(2)Grouped samples respond differently to ESG leading index announcement: The Shanghai stock sample stocks responded more positively than the Shenzhen market;large-scale companies responded more strongly to this incident than small-scale companies;non-heavy polluting companies had more market reactions than polluting companies.(3)It can be seen from the cross-sectional regression that the company size,profitability,liquidity and dividend policy have a significant impact on the market reaction of ESG index announcement.