Research Of The Performance Of A+H Stock Investment Portfolios Based On The Carbon Governance Disclosure Index

Climate change is one of the most important problem that humanity are facing in the 21st century. Due to excess carbon emission over industrial revolution, carbon percentage in atmosphere increased fundamentally and resulted in global warming. By persistent study, Intergovernmental Panel on Climate Change (IPCC) holds that practical measures in all aspects are urgent if we truly want to slow down global warming. Following Paris Agreement in December 2015, some foresight companies transfer to low-carbon operation, and make carbon-management a new guideline in development. To assert the carbon governance of a public company in accurate, it is necessary to build a disclosure system in an effective way.Based on extensive and thorough investigations in Carbon Finance, this paper reviewed findings in company carbon management and carbon governance disclosure. After analyzing and integrating projects carried by authoritative commissions, the paper attempted to build a new system in carbon governance disclosure (CGD), which applies to Chinese companies, and make some theoretical contributions. Furthermore, the effectiveness of the system is examined by quantitatively analyzing its performance in investment cases.In empirical analysis, the paper studied A+H stock panel, which is highly regulated and extensively freedom. Beginning with annual report and social responsibility report, the paper scored all 82 companies in A+H panel under CGD system with consideration in data from Internet, media and public opinion. Then 60 companies were chosen according to ascending CGD scores, and their data were investigated in groups. Quantitative methods, namely Python and Eviews, and improved Mean-Variance Model together with GARCH Model were employed by the author. Considering performance, liquidity and volatility of six portfolios from A+H panel, the paper concluded with the following findings:First of all, positive relationship between CGD and investment performance is convinced;Secondly, though the influence from CGD on liquidity is insignificant, liquidity of portfolio increased from year to year;Thirdly, CGD stabilizes portfolio’s volatility, and when the return of a portfolio increases, volatility risk lowers relatively;Finally, all in all, the usefulness and effectiveness of this brand new system in CGD is convinced.