Does heterogeneous media sentiment matter the ‘green premium’? An empirical evidence from the Chinese bond market

Abstract

This paper selects 346 green bonds issued in China from 2016 to 2021 as the sample, and the Propensity Score Matching (PSM) method is employed to confirm the existence of ‘green premium’ in the Chinese bond market. On this basis, data on internet media sentiment and print media sentiment are collected from ‘Sina Weibo’ and ‘China Important Newspaper Full Text Database’ by both Web Crawler Technology and Textual Analysis Methods to explore the impact and the mechanism of heterogeneous media sentiments on the ‘green premium’. The results show that both the optimism of internet media and print media can significantly promote the ‘green premium’ of green bonds, and the influence of print media sentiment on the ‘green premium’ is greater than that of internet media sentiment. In addition, the Bootstrap method verifies the mediating effect of print media sentiment in the influence of internet media sentiment on ‘green premium’, indicating that print media sentiment is an important transmission path. Moreover, the results of the heterogeneity test show that the more optimistic the media is, the more significant the ‘green premium’ effect is in the regions with higher institutional environments and financial subsidies. The ‘green premium’ of green bonds is most pronounced for higher levels of institutional environment and green bond preferential policies.