税制绿色化与股票流动性同步性——来自《环境保护税法》实施的证据

摘要/Abstract

摘要： 税制绿色化作为我国近年来重要的市场型环境规制政策之一，不仅对企业绿色转型发展产生了重要影响，还改变了资本市场的系统性风险特征。本文探究了税制绿色化的股票流动性同步性效应。研究表明：税制绿色化产生股票流动性同步性效应，即税制绿色化会降低税负标准提升地区高污染企业的股票流动性同步性。同时，高管环保经历和企业绿色治理行为可以弱化税制绿色化的股票流动性同步性效应。机制分析发现，税制绿色化通过改变投资者绿色偏好和提高企业绿色信息质量，影响股票流动性同步性。进一步研究发现，绿色金融改革创新试验区政策与税制绿色化存在政策叠加效应，弱化了税制绿色化对股票流动性同步性的影响。此外，税制绿色化还降低了税负标准提升地区高污染企业股票价格同步性，体现了资本市场价量共振的特点。异质性分析发现，投资者关注度高、非国有企业税制绿色化的股票流动性同步性更明显。本文为探索税制绿色化经济后果提供了新视角，丰富了有关股票流动性同步性影响因素的研究，为下一轮税制绿色化政策的制定、为防范化解金融风险提供了现实依据，具有启示作用。

关键词: 税制绿色化, 企业绿色转型, 股票流动性同步性, 系统性金融风险, 三重差分

Abstract: As one of the key market-based environmental regulation policies in recent years, the green transformation of the tax system has not only exerted a significant influence on enterprises’ green transition and development but also reshaped the characteristics of systemic risk in the capital market. This paper investigates the commonality in liquidity effect of tax system greening. Research findings indicate that the greening of the tax system generates the commonality in liquidity effect, specifically reducing the commonality in liquidity of high-pollution enterprises in regions with elevated tax burden standards. Furthermore, executive environmental experience and corporate green governance behaviors can mitigate the commonality in liquidity effect of tax system greening. Mechanism analysis reveals that tax system greening influences commonality in liquidity by altering investor green preferences and enhancing corporate green information quality. Further research demonstrates that the green finance reform pilot zone policy attenuates the impact of tax system greening on commonality in liquidity. Additionally, the greening of the tax system also reduces the stock price synchronicity of heavily polluting enterprises in regions with increased tax burden standards, reflecting the characteristics of price-volume resonance in the capital market. Heterogeneity analysis shows that the commonality in liquidity effect is more pronounced in cases of high investor attention and non-state-owned enterprises implementing tax system greening. This study provides a new perspective on the economic consequences of tax system greening, enriches the literature on the determinants of commonality in liquidity, and offers practical implications for the next round of tax system greening policies as well as for preventing and mitigating financial risks.

Key words: greening the tax system, enterprise green transformation, commonality in liquidity, systemic financial risk, DDD model

魏兴凯, 王宜峰. 税制绿色化与股票流动性同步性——来自《环境保护税法》实施的证据[J]. 管理评论, 2026, 38(7): 16-28.

Wei Xingkai, Wang Yifeng. Tax System Greenization and Commonality in Liquidity—Evidence from the Implementation of the Environmental Protection Tax Law[J]. Management Review, 2026, 38(7): 16-28.

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