绿色指数发布的股价效应研究_基于投资者情绪的视角-毕业论文.docx

Ⅰ 硕士学位论文 绿色指数发布的股价效应研究 —基于投资者情绪的视角 摘 要 在环境问题日益严峻的背景下，为引导资金向绿色行业投入，近年来，各类绿色指数相继发布。这些指数从多角度反映了绿色市场走势，也给投资者提供了多元化的业绩比较基准，可以说，其成为了理论上的风向标。而由于我国绿色指数起步较晚，相关实证分析较少，故其对市场实际产生的影响有待验证。 本文的研究分两个部分展开。首先，第一部分以2017-2019年绿色领先类公司股票数据为样本，采用事件研究法分析绿色指数发布后样本公司收益率的变化,借以探究绿色指数发布对相关公司股价的影响，即股价效应。进一步，文章的第二部分，以百度搜索指数构建投资者情绪的代理变量，通过构建回归模型，对该股价效应背后的影响机制做出了梳理。实证结果表明：在短期内，绿色指数发布对样本公司股价影响显著，指数发布后，公司的异常收益率在整体上显著为正。但长期来看，该股价效应不具备持续性，平均异常收益率会在长期回落。而基于投资者情绪视角的研究表明，绿色指数发布后，投资者情绪明显高涨，并且这种情绪对事件日后的异常收益有显著的正向影响。本文的研究为评价绿色指数发布的影响提供了良好的参考，同时对于内在机制的挖掘在一定程度上弥补了既有研究的不足。 关键词：绿色指数；股价效应；事件研究；投资者情绪 Ⅱ Abstract 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 Chinas 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 companys 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 companys stock price. After the index is released, the companys abnormal return rate is significantly positive overall. In the long run, the stock price effect is not sustainable, and the average abnormal return r