Research On The Influence Of Corporate Green Income On Volatility

The existence of green incentives in China’s capital market has been a hot topic of academic research in recent years,but there is little mention about the impact of green on stock return volatility.The 2019 Green Industry Guidance Catalogue issued by the National Development and Reform Commission and seven other ministries and commissions provides new ideas for the classification of green enterprises.This paper uses the green revenue of enterprises as a measure of greenness and studies the green revenue on stock return volatility This paper not only helps enterprises to manage risk,but also provides reference for the government to promote green finance.This study covers quarterly data of all A-share listed companies from 2010 to2020,and investigates the impact of green income on stock return volatility based on a two-way stationary model,and tests the mediating effect of investor sentiment,and conducts heterogeneity analysis for different samples to explore the impact of green income on stock return volatility under different sizes,different equity structures and different financial environments.The results show that(1)the increase of green income is positively related to stock return volatility,and further split stock return volatility into idiosyncratic volatility and systematic volatility.The analysis finds that green income raises stock idiosyncratic volatility and systematic volatility,among which the increase of idiosyncratic volatility is more significant,indicating that green income can accelerate the flow of individual company information into the stock market to enhance stock information content,and the increase of systematic volatility indicates that green income can accelerate the flow of individual company information into the stock market to enhance stock information content.The increase in systematic volatility indicates that firms with high green income are more sensitive to market volatility.(2)Investor sentiment partially mediates the effect of green income on stock return volatility,i.e.,higher green income can cause higher investor sentiment,increase excessive trading by investors,which in turn increases stock return volatility and also raises stock idiosyncratic volatility.(3)In the sample of firms with small size,non-state-owned shares,high equity concentration,and pilot provinces and cities conducting green financial reform,the promotion effect of green income on stock return volatility is more pronounced,in which increasing green income in small size firms raises systematic volatility,indicating that small size firms are more sensitive to market volatility;the higher idiosyncratic volatility in firms with high equity concentration and non-state-owned shares,to some extent reflects that the individual information of the company can be transmitted to the market in a timely and effective manner to enhance market efficiency.