Empirical studies on firm behavior and stock market responses in China’s A- share market = 중국 A주식 시장의 기업행동과 주식시장 반응에 관한 실증 연구

다국어 초록 (Multilingual Abstract)

This thesis consists of two papers that examine the economic consequences of institutional changes in China’s A-share market from the perspectives of firm behavior and market responses. The first paper investigates the impact of China’s Green Finance Reform and Innovation Pilot Zone (GFRIPZ) policy on energy-intensive firms, with a focus on carbon emission intensity (CEI) and profitability. As climate change and sustainable development have become increasingly important, green finance policies have emerged as an important tool for promoting low-carbon transition. This study examines whether the GFRIPZ policy effectively reduces firms’ CEI and how this policy intervention affects their financial performance. Using a dataset of Chinese A-share listed firms and a triple-difference estimation framework, we find that the GFRIPZ policy significantly reduces the CEI of energy-intensive firms. This effect is partly driven by increased green innovation. The reform also exerts downward pressure on short-term profitability. However, green finance policies also alleviate financing constraints, which helps maintain firms’ financial stability under sustainability-oriented reforms. The second paper investigates how initial public offering (IPO) activity affects the MAX effect and the demand for lottery-like stocks in China’s A-share market, while also examining the moderating role of investor sentiment. IPO activity is an important institutional feature of the capital market, and changes in IPO issuance conditions may affect investor attention, speculative trading, and asset pricing. This study examines whether IPO activity strengthens the negative return predictability of lottery-like stocks and increases investors’ speculative demand for such assets. Using stock-level data from China’s A-share market, we find that short-term extreme returns are negatively associated with subsequent stock performance, and that this MAX effect becomes stronger during periods of high IPO activity. We also find that active IPO issuance increases investors’ speculative demand for lottery-like stocks, suggesting that IPO activity amplifies investors’ preference for lottery-like stocks in the secondary market. Therefore, the findings of this thesis provide useful implications for policymakers seeking to balance sustainability goals and economic performance, for investors seeking to understand lottery-like stock demand and market sentiment, and for firm managers responding to institutional changes.

목차 (Table of Contents)

• Chapter 1. Introduction 1
• Chapter 2. The effects of stringent climate policy on firms’ carbon emission intensity and profitability: Evidence from China 5
• 2.1. Introduction 5
• 2.2. Literature and research hypotheses 10
• 2.3. Sample data and methodology 14
• 2.3.1. Dataset 14
• 2.3.2. Models 20
• 2.4. Empirical analyses 23
• 2.4.1. The impact of GFRIPZ policy on firm CEI 23
• 2.4.2. Parallel trend test 25
• 2.4.3. Endogeneity test 26
• 2.5. Robustness tests and additional analyses 29
• 2.5.1. Placebo tests 29
• 2.5.2. Sensitivity and heterogeneity 31
• 2.5.3. Mediation effects 32
• 2.5.4. Moderating effects 34
• 2.5.5. Financing constraints and long-term firm value 38
• 2.6. Conclusions 40
• Chapter 3. The effects of IPO activity and investor sentiment on demand for lottery-like stocks: Evidence from China 43
• 3.1. Introduction 43
• 3.2. Literature and research hypotheses 46
• 3.3. Data 49
• 3.4. Empirical analyses 51
• 3.4.1. MAX effect 51
• 3.4.2. The impact of IPO activity on the MAX effect and speculative demand for lottery-like stocks 56
• 3.4.3. Moderating role of investor sentiment 59
• 3.5. Robustness tests 65
• 3.5.1. Robustness to alternative measures, macro controls, and market conditions 65
• 3.5.2. Endogeneity test 68
• 3.5.3. Moderating role of investor attention 71
• 3.6. Conclusion and implications 73
• Chapter 4. Conclusion and discussion 75
• 4.1. Conclusion 75
• 4.2. Implications 77
• 4.3. Limitations and future research directions 79
• References 81
• 요약 108