The Impact of CSI SEEE Carbon Neutral Index Launched on Order Aggressiveness

Zihuang Huang, Xiaoyu Zhang and Kaifeng Li ()
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Zihuang Huang: School of Economics and Management, China University of Mining and Technology, Xuzhou 221116, China
Xiaoyu Zhang: School of Economics and Management, China University of Mining and Technology, Xuzhou 221116, China
Kaifeng Li: School of Economics and Management, China University of Mining and Technology, Xuzhou 221116, China

JRFM, 2024, vol. 17, issue 5, 1-20

Abstract: In the context of carbon peaking and carbon neutrality goals, in order to clarify the investment direction for investors, China Securities Index Co., Ltd. (CSI) has collaborated with the Shanghai Environmental Energy Exchange to develop the CSI SEEE Carbon Neutral Index (CSCNI), which has also played a leading role in the subsequent preparation of the Green Finance Index. The launch of this index has sparked research interest among scholars in stimulating investor order aggressiveness. This study employs event study methodology to examine the impact of the CSCNI launch on order aggressiveness. The sample companies are categorized into two groups: deep low-carbon and high-carbon reduction, with a focus on studying buy and sale order aggressiveness. The results indicate that the launch of CSCNI has mobilized order aggressiveness but has led to a negative stock price effect as investors anticipate an increase in environmental costs for the sample companies. Furthermore, we reveal that the long-term growth potential of the deep low-carbon field is more promising compared to the high-carbon reduction sector, making stocks in the deep low-carbon field more attractive. The launch of CSCNI has shown contrasting effects on the buy and sale order aggressiveness of investors, with the impact of the index announcement being more significant on the sample companies. This research provides valuable insights for evaluating the impact of green finance indices and contributes to the understanding of internal mechanisms. It provides an important reference for financial regulators to evaluate the development of the current green index. At the same time, it expands the domestic research on order aggressiveness, which studies the action mechanism of the stock price effect of the green stock index from the perspective of order aggressiveness.

Keywords: CSI SEEE carbon neutral index; order aggressiveness; stock price effect; event study (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2024
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