CAJ | 학술논문

为系统研究我国股市对上市公司环境事件反应的特点与程度，分析我国股票市场绿色的有效性，本文以我国2003—2012年3月期间上市公司149起环境事件为样本，运用事件研究法，对环境事件的市场反应进行了实证研究。统计结果显示我国上市公司仍然存在较为严重的信息披露不足问题，且因环境事故引发的赔偿和罚款相对于其导致的经济损失来说数额较小。对累积异常收益率变化的分析表明，总体上我国上市公司环境事故和未通过环保核查等负面信息的披露还没有成为股票价格下行的显著信号，但对化工行业企业与国有企业的冲击较为强烈且更多地体现为长期影响，工业“三废”污染影响程度略高于其他类型事件；2008年后环境事件对股价的负面效应明显增强。横截面数据的回归分析表明，规模大、事态恶劣的环境事故对股价的冲击远大于小事故，但投资者对事故类型与肇事公司规模等因素并不敏感。本文最后基于实证分析结果对提高股票市场的绿色有效性提出了相应的政策建议。
위계통연구아국고시대상시공사배경사건반응적특점여정도，분석아국고표시장록색적유효성，본문이아국2003—2012년3월기간상시공사149기배경사건위양본，운용사건연구법，대배경사건적시장반응진행료실증연구。통계결과현시아국상시공사잉연존재교위엄중적신식피로불족문제，차인배경사고인발적배상화벌관상대우기도치적경제손실래설수액교소。대루적이상수익솔변화적분석표명，총체상아국상시공사배경사고화미통과배보핵사등부면신식적피로환몰유성위고표개격하행적현저신호，단대화공행업기업여국유기업적충격교위강렬차경다지체현위장기영향，공업“삼폐”오염영향정도략고우기타류형사건；2008년후배경사건대고개적부면효응명현증강。횡절면수거적회귀분석표명，규모대、사태악렬적배경사고대고개적충격원대우소사고，단투자자대사고류형여조사공사규모등인소병불민감。본문최후기우실증분석결과대제고고표시장적록색유효성제출료상응적정책건의。
This paper takes 149 sample environmental events between 2003 and March 2012, using event study method to analyze whether environmental events are associated with an abnormal volatility of stock returns. The results show that,China stock market is not Green-Efficient as a whole, and environmental events cannot be the significantly negative signal for stock prices. While the CAR of industrial waste pollution, chemical industry and state-owned enterprises are more significant than those of their counterparts. Further test suggests that environmental events have significantly negative effect on stock prices after 2008. The regression of cross-sectional data reveals that major and serious accidents have more impacts on the stock prices than minor ones, while investors are not sensitive to accident and enterprise type. Therefore, the authors suggest improving responsibility tracking system as well as information disclosure system, in order to increase environmental default costs of enterprises and cultivate rational investment philosophy.