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

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  • Deng, Chao
  • Zhou, Xiaoying
  • Peng, Cheng
  • Zhu, Huiming

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.

Suggested Citation

  • Deng, Chao & Zhou, Xiaoying & Peng, Cheng & Zhu, Huiming, 2022. "Going green: Insight from asymmetric risk spillover between investor attention and pro-environmental investment," Finance Research Letters, Elsevier, vol. 47(PA).
    • Handle: RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005201
    DOI: 10.1016/j.frl.2021.102565
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    Cited by:

    1. Wen, Bohui & Yan, Yulin & Hao, Jing & He, Feng, 2023. "Investors’ online searching and green knowledge dissemination," Finance Research Letters, Elsevier, vol. 54(C).
    2. Sisi Zheng & Shanyue Jin, 2023. "Can Enterprises in China Achieve Sustainable Development through Green Investment?," IJERPH, MDPI, vol. 20(3), pages 1-25, January.
    3. Fabrice Hervé & Sylvain Marsat, 2023. "Eco-Anxiety, Connectedness to Nature & Green Equity Investments," Post-Print hal-04150758, HAL.
    4. Ming, Yaxin & Li, Yubo & Liu, Nian & Li, Jing, 2023. "Retail investor attention and corporate environmental performance: Evidence from china," Finance Research Letters, Elsevier, vol. 56(C).
    5. Qiao, Xingzhi & Zhu, Huiming & Tang, Yiding & Peng, Cheng, 2023. "Time-frequency extreme risk spillover network of cryptocurrency coins, DeFi tokens and NFTs," Finance Research Letters, Elsevier, vol. 51(C).
    6. Fabrice Hervé & Sylvain Marsat, 2023. "Eco-anxiety, connectedness to nature, and green equity investments," Economics Bulletin, AccessEcon, vol. 43(3), pages 1485-1492.
    7. Zhang, Yunhan & Li, Yan & Zhao, Wanli & Ji, Qiang, 2024. "Climate risk performance and returns integration of Chinese listed energy companies," Energy Economics, Elsevier, vol. 129(C).

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