一种新的绿色激励指标构建方法及其应用  

A Novel Approach of Green Incentive Index Construction and Its Application

作　　者：张逸飞 池文豪 魏云捷[1,3] 孙少龙 王珏[1,3] ZHANG Yifei;CHI Wenhao;WEI Yunjie;SUN Shaolong;WANG Jue(Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China;University of Chinese Academy of Sciences,Beijing 100190,China;Center for Forecasting Science,Chinese Academy of Sciences,Beijing 100190,China;School of Management,Xi'an Jiaotong University,Xi'an 710049,China)

机构地区：[1]中国科学院数学与系统科学研究院,北京100190 [2]中国科学院大学,北京100190 [3]中国科学院预测科学研究中心,北京100190 [4]西安交通大学管理学院,西安710049

出　　处：《计量经济学报》2022年第4期738-759,共22页China Journal of Econometrics

基　　金：国家自然科学青年科学基金项目(71801213);国家自然科学基金面上项目(72101197);国家自然科学基金基础科学中心项目(71988101)。

摘　　要：完善和发展绿色金融体系是实现碳达峰与碳中和目标战略下的重要一环,研究中国证券市场中绿色激励(green incentive,GI)的存在性和显著性有利于进一步发现绿色风险补偿机制以及把握政策对市场的引导效应.与现有相关研究思路不同,首先本文以中国股票市场环保行业板块为切入点,从指标构造的时效性和便捷性出发,通过经典的资本资产定价模型及行业α收益,在不同激励因子的设置下构建了全新的绿色激励指标.其次,为探究绿色激励指标的性质和特点,本文提出了一种系统的混合分析方法并进行了综合应用,包括GI指标关于中证环保指数的因果检验分析、趋势分析和回归分析等,全面地反映了所建指标的优势与参考价值.最后,对绿色激励指标的预测价值进行了实证研究与讨论.研究结果表明,在不同激励因子影响下构建的绿色激励指标对于环保板块指数均具备一定的趋势先行性、回归系数显著性和预测模型解释性.其结论既指出了环保指数的变化趋势仍然长期受市场对环保板块要求的绿色风险补偿影响,同时也为跟踪和预测行业指数趋势提供了新的参考思路.Improving and developing the green financial system is a vital tool to achieve emission peak and carbon neutrality,and the research on green incentive(GI)in Chinese securities market is conducive to further discovering the impacts of policies and green risk compensation on the market.First,based on the classical CAPM and a return,we construct brand-new GI indicators with distinct incentive factors by the index of environmental protection industry.Second,to investigate the characteristics of GI indexes,this work proposes a systematic hybrid analysis method by integrating the causality test,trend analysis and regression significance test,which can also reveal the advantages and merits of our established indicators.Third,the empirical results demonstrate that under different incentive factors,GIs can exhibit obvious leading trend,significant regression coefficient and predictive explanatory power,with regard to the environmental protection industry index.The conclusion points out that the trend of the environmental protection index is affected by the green risk compensation required by the market in a long term,and meanwhile,it also provides a valuable reference for tracking and predicting the index.

关 键 词：环保行业 激励因子 绿色激励 趋势分析 指数预测 

分 类 号：F832.51[经济管理—金融学] X196[环境科学与工程—环境科学]