The Impact of the policies: Evidence from Chinese Ecological Agriculture Companies

Abstract

Since 1982, affected by the national development direction and policies, companies in related agricultural industries have developed rapidly. One of the standards reflecting the company's development - stock price volatility - has specific industry characteristics. Overall, we found that in the event window, except for 2016 and 2017, the cumulative average abnormal returns showed an upward trend. Especially in 2015, 2018, 2019, 2020, and 2021, since the cumulative abnormal returns are insignificant and the test results are efficiency, it almost proves the policy effect not existing on China's stock market no matter the policy is positive or negative. Finally, through the FAMA five-factor robustness test, we found that the policy effect of ecological agricultural stocks is weak due to the impact of investment factors and profitability, and following previous research, we can conclude that the ecological agricultural stock price is estimated by the investor sentiment and stock valuation. To make a more targeted study on the effects of relevant preferential agricultural policies and national development policies on ecological agriculture, we selected the stock volatility data of 36 listed companies from 2015 to 2021, when the No. 1 central document was released. We used the event study method to use the market model and the FAMA five-factor model to make statistics on the abnormal returns of companies. Compared with the previous research, the heterogeneity of agricultural sub-sectors was obtained by narrowing the sample scope to the ecological agriculture sector in the agricultural sector, and the last policy-related research was further testified.