Can Enterprises in China Achieve Sustainable Development through Green Investment?

Enterprises have emerged as primary actors in environmental protection owing to the increasingly severe global energy crisis and environmental pollution. Companies can reduce operational costs, achieve environmental social responsibility, and enhance their green image by increasing their green investments. Simultaneously, companies can gain support from investors, governments, and other stakeholders for improving their sustainable development. This study uses fixed-effects regression models to analyze the impact of green investment on corporate sustainability in Chinese listed companies for the period from 2010 to 2020. It also investigates the moderating effects of government environmental subsidies, investor attention, and executives' overseas experience on the relationship between green investment and corporate sustainability. The data used in this study were not only obtained from the China Stock Market & Accounting Research (CSMAR) database but also collected manually from the annual reports and social responsibility reports of listed companies using web crawler technology. And the robustness test was conducted by removing the epidemic year and replacing the range of independent variables and 2SLs. This study uses Stata 17.0 to filter and process the data. The results show that green investment can significantly improve the sustainability of enterprises; besides, government subsidies, investors' attention, and executives' overseas experience all play a positive role in moderating the positive effect of green investment on the sustainable development of enterprises. Further analysis of this study finds that the moderating effect is more significant in non-state-owned enterprises and highly polluting enterprises. This study contributes to broadening the theory related to the green development of enterprises and environmental governance and provides theoretical support for enterprises to make green investment decisions and green transformations.

The COVID-19 pandemic and Bitcoin: Perspective from investor attention

The response of the Bitcoin market to the novel coronavirus (COVID-19) pandemic is an example of how a global public health crisis can cause drastic market adjustments or even a market crash. Investor attention on the COVID-19 pandemic is likely to play an important role in this response. Focusing on the Bitcoin futures market, this paper aims to investigate whether pandemic attention can explain and forecast the returns and volatility of Bitcoin futures. Using the daily Google search volume index for the "coronavirus" keyword from January 2020 to February 2022 to represent pandemic attention, this paper implements the Granger causality test, Vector Autoregression (VAR) analysis, and several linear effects analyses. The findings suggest that pandemic attention is a granger cause of Bitcoin returns and volatility. It appears that an increase in pandemic attention results in lower returns and excessive volatility in the Bitcoin futures market, even after taking into account the interactive effects and the influence of controlling other financial markets. In addition, this paper carries out the out-of-sample forecasts and finds that the predictive models with pandemic attention do improve the out-of-sample forecast performance, which is enhanced in the prediction of Bitcoin returns while diminished in the prediction of Bitcoin volatility as the forecast horizon is extended. Finally, the predictive models including pandemic attention can generate significant economic benefits by constructing portfolios among Bitcoin futures and risk-free assets. All the results demonstrate that pandemic attention plays an important and non-negligible role in the Bitcoin futures market. This paper can provide enlightens for subsequent research on Bitcoin based on investor attention sparked by public emergencies.

Environmental Penalties, Investor Attention and Stock Market Reaction: Moderating Roles of Air Pollution and Industry Saliency

Despite the importance of environmental penalties in environmental enforcement, how and under what situations they impact stock market reaction is still unclear. Drawing on the theories of expectancy violation and attention driven, a conceptual model is built to explore how environmental penalty influences stock market reaction through investor attention. Furthermore, it is explored that the air pollution and industry saliency facilitate the indirect relationship between environmental penalty and investor attention. We empirically test this theoretical framework using a sample of 88 listed companies that received the environmental penalty. Up to 31 December 2020, a total of 88 A-share listed companies in Shanghai and Shenzhen stock exchanges were obtained as samples by collecting the announcement of environmental penalties of listed companies on Juchao Network. Furthermore Baidu index is taken as a proxy for investor attention in this study. Our findings reveal that investor attention plays mediating role in the relationship between environmental penalty and abnormal returns, while the direct effect of environmental penalty on stock market reaction has not been verified, thus, investor attention plays a complete mediating role between them. In addition, air pollution moderates the relationship between Environmental penalties and investor attention. The study found that enterprises in heavy pollution industries might suffer safety-in-numbers effect, which would weaken the directly negative impact of environmental penalties, and verified the moderating effect of industry saliency. These findings provide theoretical and practical implications for understanding how environmental penalties influence on stock market reaction.

Does investor attention increase stock market volatility during the COVID-19 pandemic?

We decompose investor attention to the COVID-19 pandemic into expected and unexpected segments and investigate their effects on realized and fundamental stock market volatility. We show that expected investor attention can explain both types of volatility. However, unexpected investor attention can only explain realized volatility, though its realized volatility effect outweighs that of expected investor attention. Moreover, the relationship between expected investor attention and either type of volatility is unidirectional whereas the interaction between unexpected investor attention and realized volatility is bidirectional. These findings suggest that expected (unexpected) investor attention is informational (noisy and more harmful) to the stock market.