中国绿色基金的经济绩效分析  

An Empirical Analysis of the Economic Performance of China’s Green Funds

作　　者：吴丹 戴婧婧 余慧铃 Wu Dan;Dai Jingjing;Yu Huiling(School of Humanities and Management,Zhejiang Chinese Medical University,Hangzhou,Zhejiang 311043;China Academy of Financial Research,Zhejiang University of Finance and Economics,Hangzhou,Zhejiang 310018)

机构地区：[1]浙江中医药大学人文与管理学院,浙江杭州311043 [2]浙江财经大学中国金融研究院,浙江杭州310018

出　　处：《中国商论》2024年第16期130-135,共6页China Journal of Commerce

基　　金：杭州市哲学社会科学规划基地课题(2023JD38);浙江中医药大学2022年度校级科研项目(人才专项)(2022RCZXSK01)。

摘　　要：当前,全球气候变化推升了投资者对投资组合风险的日益关注,全社会绿色投资兴趣也愈发浓厚。本文采用时变条件模型来研究绿色基金在新兴经济体的业绩表现。结果显示,绿色基金在市场基准下,这些基准包括A股市值加权指数、沪深300指数和深圳证券社会责任指数,都比那些传统同类基金具有超额收益。然而,没有证据表明绿色基金在经济疲软时的表现也优于传统基金。此外,在分组回归中,绿色基金仅在A股市值加权指数这一基准下显示出超额收益。总的来说,本文的结果支持了使用条件模型来评估绿色基金表现的重要性。同时,中国的绿色基金在发展初期并没有表现出明显的经济业绩劣势,这与之前欧美市场的研究结果有很大不同。At present,global climate change has promoted investors’increasing concern about portfolio risks,and the whole society is increasingly interested in green investment.This paper presents an improved time-varying condition model to study the performance of green funds in China,an emerging economy with serious environmental problems.The results show that green funds have outperformed their traditional counterparts against market benchmarks,including the A-stock Market value-weighted Index,the CSI 300 Index and the Shenzhen Securities Social Responsibility Index.However,there is no evidence that green funds also outperform traditional funds when the economy is weak.Moreover,in the grouping regression,the green fund only shows excess returns under the benchmark of the A-stock market value-weighted index.Overall,our results support the importance of using conditional models to assess green fund performance.Our results also show that green funds in China do not exhibit a signifi cant economic performance disadvantage in the early stages of development,which is quite different from the results of previous studies in European and American markets.

关 键 词：社会责任投资 绿色基金 全球气候变化 绿色投资 绿色基金 

分 类 号：F830.59[经济管理—金融学]