An Empirical Study On The Green Effect In Chinese Stock Market

As global environmental problems become more severe,major economies in the world,including China,have reached consensus on issues such as climate change,protection of the ecological environment,and sustainable development,and signed a series of environmental agreements and environmental protection policies and regulations.And through the diversified green financial products and services of the financial industry,it will introduce social capital into the field of green environmental protection and promote the vigorous development of green finance.Based on the background of China’s green financial system,this article starts from exploring the risk factors that affect the pricing of Chinese stock assets under the new situation,studies the green risk premium of stocks,and examines whether there is a green effect in the Chinese stock market,with a view to establishing assets suitable for the Chinese stock market The pricing model enriches and improves the green financial asset pricing theory and improves the quality of the Chinese stock market.First of all,through combing the research of domestic and foreign scholars on asset pricing theory and green finance,it is found that the multi-factor pricing model gradually developed from asset capital pricing model and hedging pricing theory has become the most mainstream asset pricing model.The most advanced Fama-French five-factor model is the most reasonable and effective,and the application range is wider.At the same time,it is found that there is no agreement on the types and number of risk factors that affect stock pricing at this stage,and related research focuses on the use of empirical methods to explore the effects of some traditional ideas,but the lack of risk factors and asset risk pricing under emerging ideas The mining analysis of the pricing mechanism behind it.The pricing factors of risk assets are not the same in different periods and different stock markets,which also brings challenges to asset pricing.Therefore,exploring new risk pricing factors has become one of the important directions of asset pricing development.On the other hand,with the rise of the concept of green finance,research on the risk return of green assets has also been gradually carried out.Related research reveals that listed companies are due to their greening from the perspective of the relationship between the economic benefits,social benefits and environmental benefits of green companies.The production behavior makes the company’s development face higher uncertainty.Therefore,investors holding green stocks require higher green risk compensation,that is,the stock’s green risk premium.However,due to the lack of standard evaluation indicators for the green degree of listed companies,it is difficult to quantify the company’s green risks,and the corresponding empirical research is difficult to carry out.In view of the above findings,this paper uses the Fama-French five-factor model and its extended model as pricing tools,selects the 96-month observation data of the green concept stock returns in the Chinese stock market as the sample,and constructs factor returns and benchmark investments.Combined returns,quantify the green risk premium of stocks,and conduct empirical research on the green effects in the Chinese stock market.The main research conclusions of this paper are:first,the green factor is an effective risk pricing factor in China’s stock market,and there is a significant green effect in the Chinese stock market;second;the risk of green concept stocks by the multi-factor pricing model with the addition of green factors The premium has a very good explanatory ability,and can better characterize the risk and return of green concept stocks than the original Fama-French factor model.Third,among the green concept stocks in China’s stock market,scale effect,book-to-market ratio effect and investment The style effect is reflected,but it does not show the profitability effect,and the profit risk factor is a "redundancy factor." Further analysis draws the conclusion that the generally higher financial leverage ratio of green concept companies brings about the phenomenon of "pseudo-high profitability" of green concept companies.Finally,according to the research conclusions of the thesis,corresponding countermeasures and suggestions are proposed for different issues on different topics such as government financial regulatory agencies,securities investors and related scholars.