Analysis Of The Impact Of Green Fund Performance On Capital Flow

Increased concern for climate change and its risk for portfolios are intensifying the interest in green investments.In recent years,finance has been playing a more and more important role in supporting environmental protection.As one of the important means of green investment,green fund has experienced a rapid development in recent years.It has attracted more and more attention from investors.So can green investment bring higher returns to investors? Do investors tend to prefer the green funds with excellent performance,or choose to redeem funds? In view of the above problems,this paper mainly studies the performance differences between Chinese green funds and traditional funds,and explores the buying and redemption behaviors of individual investors towards the current and lag yields of green funds.In terms of the performance of green funds,this paper selects 33 green funds and uses the time-varying condition five-factor model to investigate whether green funds can bring excess returns to investors compared with traditional funds.Then this paper selects different market benchmarks for robustness tests.In the difference analysis of green fund group,we compare the performance difference of environmental protection fund and new energy fund.Then we study the impact of current and lag rate of return of green fund on the net capital flow,and selects different time frequencies of the data for the robustness test.In this paper,funds with excellent performance and those with the lowest ranking are grouped to further study the nonlinear relationship between returns and fund flow.The empirical results mainly draw the following conclusions:(1)the return rate of green fund is higher than that of traditional fund.Different from the conclusion that the green fund did not perform well in the initial stage of development drawn by the previous research in the European and American markets,China’s green fund did not show obvious economic disadvantages in the initial stage of development.At the same time,the selection of market benchmark will not affect the empirical results.(2)The performance of environmental protection theme fund is better than that of new energy theme fund.This paper believes that this is mainly because the development of new energy funds started late and the industry takes a long time from research to commercial use.However,from the perspective of long-term policy orientation and technological development,the new energy theme fund still has great development space and investment value.(3)In the study of green fund performance and cash flow,this paper finds that the green fund current yields a significantly positively related to capital flows.Lagging returns have a significant negative impact on net capital flows.This shows that in a very short period,investors tend to chase funds with excellent performance,but in the medium and long term,there is a "redemption anomaly" in the green fund market,and investors have an obvious "disposal effect".(4)In the robustness test,when the time span of the research data is selected to be semi-annual,the results are consistent with the quarterly data.But when the time span of the data is selected to be annual,the current rate of return is significantly positively correlated with the fund flow.However,there is no significant relationship between lagged annual return and current fund flow.The main reason why the lag period is not significant is that the average time for individual investors to hold green funds in China is less than 1 year.(5)In the study on the non-linear relationship between the flow rate and performance of green funds,the results indicate that there is a "star effect" and "penalty effect" in the green fund market.The lowest ranked green funds will see more inflows in the short term but redemptions in the longer term from more investors.Finally,this paper puts forward relevant policies and suggestions:(1)Investors should cultivate long-term value investment philosophy and enhance their confidence in green investment in China’s capital market;(2)Fund management companies should improve performance sustainability,build long-term high-quality brand image,which is conducive to improving investor attention and attracting more capital inflows;(3)Listed companies should pay more attention to environmental performance and improve the environmental information disclosure system;(4)The government should establish an open and unified green rating system and guide the capital to the green industry.The conclusion of this paper is of great practical significance for cultivating green responsible investment,prospering green financial market and boosting the high-quality development of Chinese economy.