| dc.description.abstract | In the wave of rapid development of ESG around the world, China enters into its
rapid growth stage of ESG development since 2018. A series of essential national
policies have been released in a more systematic way to guide the green
transformation and development of the state. The release of policies brings the
stock markets new information which is assumed to impact the investors’
sentiment and the movements of the stocks. However, few literatures is available
on this topic. This study aims to investigate how the release of ESG national
policies can affect the stock returns of the A-share market in China. The study
employs event study as the methodology and can be divided in two stages. In the
first stage, five core ESG strategies are selected to test how their announcement
can impact the CSI300 and CSI500, two representatives from A-share market. In
the second stage, the two first environment policies are selected further to test
how their release can impact the involved industries like coal, oil and
petrochemical, steel, finance and so forth.
The empirical results demonstrate that the release of national ESG policies
generates impacts on the stock returns of both CSI300 and CSI500. The intensity
of the policy impacts does not vary a lot between CSI300 and CSI500 but the
direction does. Moreover, the release of national double-carbon policies generates
impacts on the stock returns of involved industries. The impacts of the release of
double-carbon policies on high energy consumption and high emission industries
are mostly negative while those on the industries supporting the low-carbon
practices are mostly positive. | en_US |
