关键词: 拉闸限电, 涨跌幅, 超额收益率, 多时点双重差分, 三重差分

Abstract:

The power-rationing event implemented in many provinces in 2021 is the first major event that China has encountered in the process of economic green and low-carbon transformation under the background of the “double carbon” strategy， and it can be regarded as a natural experiment to affect the Chinese stock market. Will the power-rationing event have a significant impact on the Chinese stock market？ How will investors choose under the impact of power-rationing？ Will this event change people’s confidence in China’s economic development？ To answer these important questions， 48 trading days from August 1st， 2021， to October 15th， 2021， are selected as the sample period to study the impact of the power-rationing event on China's A-share market by using the event analysis model， time-varying Difference-in-Differences and Difference-in-Differences-in-Differences models. The specific empirical work and the empirical conclusions in this article are as follows： First， based on the event analysis model， the impact of power rationing on different industries in power-restricted provinces is examined. The results show that after companies in high-energy-intensity industries are affected by power rationing， the stock price change， abnormal return， and institutional net buying orders decrease significantly； at the same time， companies in non-high-energy-intensity industries in power-restricted provinces are obviously affected by power rationing. However， the specific direction of the impact is not consistent with companies in high-energy-intensity industries. Second， based on the time-varying Difference-in-Differences model， whether the power rationing event had a significant impact on the A-share listed companies in power-restricted provinces is tested. The results show that the power-rationing event has a significant positive impact on the stock price change and abnormal return of companies located in power-restricted provinces， which are mainly driven by the rise in stock in non-high-energy-intensity industries in power-restricted provinces. Further testing of the dynamic effects shows that the power rationing had no long-term impact on the stock market. Third， based on the Difference-in-Differences-in-Differences model， the heterogeneity of investor buying behavior in the impact of power rationing on the stock market is examined. The results show that the positive short-term impact of the events on the stock price change and abnormal return in the restricted provinces is mainly driven by the investment behaviors of institutional investors and big investors. The events make these investors increase the net buy of stocks in non-high-energy-intensity industries in the power-restricted provinces. To sum up， the research in this article shows that the securities market has maintained smooth operation under the impact of power rationing， reflecting investors' stable expectations for the long-term optimism of the securities market and their firm confidence in the green transformation under the dual-carbon strategy. To a certain extent， it proves that China's economy has strong resilience in dealing with shocks.

Key words: power-rationing events, price change, abnormal return, time-varying difference-in-differences model, difference-in-differences-in-differences model