| In the context of carbon neutralization,carbon neutralization bonds came into being.Carbon neutral bond is a sub variety of green bonds with more focused use of green raised funds,quantifiable environmental benefits and stricter information disclosure requirements.Under the perspective of the primary issuance market and secondary trading market of carbon neutralization bonds,this paper aims to study the existence and influencing factors of green premium of carbon neutralization bonds,and guide enterprises to participate in green bond market for financing with the help of policies,thus reducing the financing cost as much as possible,stimulating the investment enthusiasm of investors,providing liquidity for the green bond market,and attracting idle social funds for green project investment.This paper selects the carbon neutral bonds issued in China from February 7,2021 to January 31,2022,and uses the propensity score matching method to match the carbon neutral bonds with ordinary bonds,testing the existence of green premium and carbon neutralization premium in the primary and secondary markets respectively.Secondly,using cross-sectional regression and grouped regression model,this paper discusses the influence of third-party certification,issuer enterprise characteristic and carbon emission reduction benefits on the green premium in the primary market.Finally,using the monthly data of bond yield to maturity from January 2021 to January 2022,Fama-Macbeth regression method is used to investigate the influence of secondary market liquidity on the green premium of carbon neutral bonds.The results show that there is a significant green premium in carbon neutral bonds in the primary issuance market and secondary trading market.Enterprises issuing carbon neutral bonds will obtain lower financing costs,and the state-owned enterprises will obtain relatively lower financing costs.Greater environmental benefits of the green projects will lower the financing cost.Among the environmental benefit indicators,higher proportion of the raised funds flowing to the green projects can lower the issuing interest rate of carbon neutral bonds.In the secondary market,the impact of duration and zero trading day proportion on the green premium is different.Longer duration will result in a greater the green premium.While the lower the proportion of zero trading day,the more active the bonds are traded in the market,and the smaller the green premium,indicating that with the carbon neutral bonds traded more frequently,the yields of carbon neutral bonds gradually converges to the underlying ordinary bonds,the green premium generated at the time of issuance is digested by the market gradually,thus the green premium is gradually reduced in the trading process.To enhance the development of carbon neutral bond market,this paper suggests that the enterprises should issue carbon neutral bonds to invest in green projects to achieve lower financing cost.The government should improve the third-party green certification system,strengthen the supervision of raised funds and reduce the risk of "green washing" of green bonds.Enterprises which issued green bonds to raise funds should invest the raised funds in green projects as much as possible to maximize environmental benefits.The government should improve the carbon neutral bond investment system,cultivate investors’ green investment sentiment to attract domestic and foreign investors to invest in the green bond market,thus to provide sufficient liquidity for China’s carbon neutral bond market and promote the orderly development of China’s green bond market. |
PDF Full Text Request