环保处罚事件对“两高”上市公司股价的影响分析

The Impact of Environmental Penalty on the Stock Price of Chinese “High Pollution and High Energy Consumption” Listed Companies

中文关键词:  环保处罚  市场反应  市值损失  事件研究法

英文关键词:environmental penalty  market reaction  market value loss  event study

中文摘要:

      手工搜集的2007—2017年49家“两高”上市公司的67个环保处罚样本，涉及化工、钢铁、煤炭开采等六个行业，采用事件研究法对环保处罚发布前后股票市场的反应进行了实证研究，并估算了每个环保处罚事件给企业带来的市值损失。研究发现，在环保处罚公示当日，股价大幅下跌，带来显著为负的异常收益率，最多的下跌了7.72%，并且这种影响可以持续到次日。从事件日后的第二天开始，这种负面影响不再显著，表现为平均异常收益率不再显著。但其造成的股价下跌是短时间内无法恢复的，因其累积平均异常收益率持续显著为负。在市值损失方面，67家上市公司平均损失了约2.85亿元市值，最多的损失了约48.5亿元，整个样本的总市值损失约为191亿元。

英文摘要:

      Taking 49 "high pollution and high energy consumption" listed companies in the A-shares from Shanghai and Shenzhen Stock Exchange as sample, 67 environmental penalty samples from 2007 to 2017 with six industries among chemical industry, steel industry, coal mining industry and others were included in our data. An empirical study using event study method on the response of stock market before and after the issuance of environmental penalties was conducted, and the market value loss of each environmental violation was also estimated. It was found that, on the day when environmental penalty was released, the stock price dropped sharply, with a significant negative abnormal return. The highest dropping rate was 7.72%, and the impact could last to the next day. Then, the negative effect was no longer significant as the average abnormal return was no longer significant. However, the fall in stock price was not recoverable in a short time, as the cumulative average abnormal return continued to be significantly negative. As for market value loss, all the listed companies lost about 285million market value on average, among which the highest loss was about 4.85billion. The total market value loss for all the companies was about 19.1billion.