Going green: Insight from asymmetric risk spillover between investor attention and pro-environmental investment

Chao Deng, Xiaoying Zhou, Cheng Peng and Huiming Zhu

Finance Research Letters, 2022, vol. 47, issue PA

Abstract: This article develops multi-quantile VaR Granger causality to investigate the extreme risk spillover of investor attention to energy-intensive and green enterprises in China. We construct investor attention indices from the Baidu index by crawling each stock's code and abbreviation. Our findings are outlined as follows. First, investor attention could effectively predict enterprise performance under extreme conditions, and the extreme comovement is prone to occur in the same direction. Second, investor attention is more likely to exert adverse effects on energy-intensive enterprises. Finally, the occurrence of environmental events would significantly affect individual attention and eventually reinforce pro-environmental investment.

Keywords: Baidu index; Extreme risk spillover; Investor attention; Environmental events; Green finance (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005201

DOI: 10.1016/j.frl.2021.102565

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