# Analysis of Stock Market Opening and Environment Protecting Information with Computational Technologies: Evidence from China

Authors: Juan Zhang; Ting Liu
Journal: Security and Communication Networks
 (2022)

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## Abstract

Stock market plays a leading and crucial role in the market mechanism, which connects the savers and investors. So far, there is no uniform regulation on the disclosure requirement of environmental protection information in China. But companies are increasingly concerned about environmental protection and are committed to disclosing more information about environmental protection. It is important to analyze the information on stock market opening and environmental protection by computing technology. For the stock market, as voluntary disclosure of non-financial information, environmental protection information is an important supplement to financial information and is essential for the investors to make decisions. And it is the important content of capital market information. This article through the capital market opening opportunity: Shanghai (Shenzhen) Hong Kong stock connect (the stock market opening mentioned later in this paper all refers to the Shanghai (Shenzhen) Hong Kong stock connect), empirically investigates the stock market opening that affects the environmental protection information disclosure of the company. Our conclusion supports the views that the stock market opening improved the environmental protection information disclosure of the company and promotes the environmental protection behavior of enterprises. Through further analysis, this paper finds that after the officially carried out the stock market opening policy, the attention of many analysts and the participation of foreign institutional investors urge the management to take the initiative to reduce agency costs, which is an important influence mechanism for the stock market opening to affect the disclosure of enterprises’ environmental protection information. The evidence of this study indicates that the stock market opening has an important impact on enterprises in China from the following aspects: improving the information disclosure of environmental protection, thus enhancing the company’s awareness of environment protecting, and improving the information quality of stock market in China.


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## Body

## 1. Introduction

According to the meeting spirit, during the third Plenary Meeting of the Eighteenth Central Committee of the Communist Party of China, which was held in 2013, the stock market of China has been opened worldwide step-by-step. The next year, on November 17, 2014, the first stock market opening (refers to the Shanghai-Hong Kong stock connect) trading mechanism was successfully launched, and the daily trading quota was increased from 13 billion yuan to 52 billion yuan in 2018. In December 2016, the second stock market opening (refers to the Shenzhen-Hong Kong stock connect) transaction mechanism was formally implemented; in March 2017, Bond Connect was officially launched; and in June 2019, the Shanghai-London stock connect was announced to start. These measures have demonstrated China’s determination and motivation to open the capital market to the world.The stock market opening policies in China attract the attention of the listed company, including the abroad institutional investors, analysts, and media worldwide. Abroad investor groups are concerned about the harmonious development of enterprises and the ecological environment, and are more focused on the long-term development performance of enterprises. Since the 18th National Congress, China has integrated ecological civilization into its economy, politics, culture, and society. In addition, President Xi Jinping stressed at the 9th meeting of the central financial and economic committee that peak carbon dioxide emissions and carbon neutralization should be incorporated into the overall layout of ecological civilization construction. It can be seen that the Chinese government and overseas investors are all concerned about the environmental responsibility of enterprises.In China, the establishment of the Listed Company Environmental Information Disclosure Regime was late. In 2001, the supervision department issued documents that required the companies, which were the first time to go public to meet the environmental requirements. In 2003, the former environmental protection bureau promulgated the notice on the disclosure of environmental protection information of the listed company. Five of the program were must public, and the other eight programs were voluntary disclosure information. In May 2008 and September 2010, the Shanghai Stock Exchange Market and the Ministry of Environmental Protection released documents and guidance on the listed companies’ information disclosure of environmental protection, strengthening the overseeing the information disclosure of environmental protection. The Ministry of Ecology and Environment released the reform plan for the environmental information disclosure system in accordance with law on May 24, 2021. It shows that the disclosure of enterprise environmental protection information will be regulated in the form of disclosure, protection contents, and supervision.On account of the analysis of the related background, the stock market opening supplied a natural environmental group and control group for our research. With the help of this quasi-natural experiment, existing literature studies demonstrate that stock market opening has an important influence on the stock market and listed companies; for example, it improves the investment efficiency of enterprises [1], also exacerbates accrual anomalies [2], improves audit quality of listed companies [3], and increases information content of stock price of listed companies [4].We will explore the important reality issues of stock market opening, which improves the information environment of the stock market, and choose the perspective of information disclosure of environmental protection. Meanwhile, little research discussed the opening stock market that influences the disclosure of environmental protection information. Our research will focus on the two aspects of stock market opening theoretically, the abroad institutional investors and the analysts. Firstly, compared with the local investors, the foreign institutional investors will deal with much more information asymmetry issues and much higher agency costs. Therefore, the listed companies have incentives to disclose more information voluntarily to lower the information asymmetry. Secondly, the opening stock market will attract the attention of analysts, as they are the information agency of the stock market; the reports released are quite important to make the investment decision and to raise capital as well. The company discloses environmental protection information voluntarily, and analysts as information agency will analyze and process the information and then help the investors make economic decisions with lower information asymmetry and then decrease the agency cost. So our research will explore that during the opening stock market, the participation of foreign institutional investors and follow-up by the analysts will increase the willingness to disclose environmental protection information.The existing literature mainly studies the impact of capital market opening on corporate investment efficiency, accrual anomalies, audit quality, and so on. In addition, the current research on the influencing factors of corporate environmental information disclosure is mainly carried out under the supervision of the government and consumers, as well as geographical and cultural factors and policies. Few studies have focused on the impact of capital market opening on corporate environmental information disclosure behavior. The motivation of this paper is to choose the perspective of environmental information disclosure, in order to explore the important practical problems of capital market opening. After the capital market is opened, it will attract the attention of overseas institutional investors and a large number of analysts, whether this will in turn improve the capital market information environment. This is a very important practical issue, and it is also related to the realization of the purpose of opening up the capital market.This paper uses the target companies as the experiment group, applies the propensity score matching method to construct the control group sample, and constructs the multiperiod difference-in-difference model to take an empirical test of the opening stock market that affects the disclosure of environmental protection information. We find that the opening stock market increases the level of disclosure of environmental protection information; furthermore, we have evidence to support that open stock market can reduce agency costs by increasing the number of analysts to follow and then affect information disclosure. And we find that the earning management of the company is decreased as well. We have tested the robustness of the conclusion, and there is no problem with it.


### 1.1. Possible Contribution

The possible contributions of this paper are as follows: (1) it has been more than 6 years since the implementation of the stock market opening policy, and the main subject of this policy is to refine the information environment of the stock market. Whether it has achieved the initial purpose of implementation remains to be verified. This paper chooses the perspective of environmental protection information disclosure and empirically tests the economic results of the stock market opening. The conclusions of this paper supply the evidence to make sure the effective implementation of the Shanghai-Hong Kong stock connect and the deepen opening of the stock market. (2) The existing literature have focused on the opening stock market that attracts the abroad investors and analyzed the influence of the abroad investors on the stock market. The previous studies were mainly about the stock price volatility, stock price information contents, the efficiency of corporate governance, enterprise innovation, the operating efficiency, investment efficiency, dividend distribution, and so on. Rarely, studies kept eye on the influence of the stock market opening on the information quality of China’s stock market. Information quality of stock market is crucial for the real economy and further deepens the opening of the stock market. But a few research paid attention to the impact of stock market opening on the disclosure quality of information [5], mainly about the financial information contents. As everyone knows, except for financial information, non-financial information are crucial for the investment decision to reduce the information asymmetry and increase the information quality. This paper applies the stock market opening as a quasi-natural experiment, overcoming the possible endogenous problems in the research. We paid attention to the influence of the opening stock market on the disclosure of environmental protection information. To a certain extent, our research has enriched the literature on the opening stock market. (3) The report of the 19th National Congress of the CPC proposed the further opening stock market; our conclusion helps clarify the influence of the abroad investors and provide policy implications on the development of the stock market.


## 1.1. Possible Contribution

The possible contributions of this paper are as follows: (1) it has been more than 6 years since the implementation of the stock market opening policy, and the main subject of this policy is to refine the information environment of the stock market. Whether it has achieved the initial purpose of implementation remains to be verified. This paper chooses the perspective of environmental protection information disclosure and empirically tests the economic results of the stock market opening. The conclusions of this paper supply the evidence to make sure the effective implementation of the Shanghai-Hong Kong stock connect and the deepen opening of the stock market. (2) The existing literature have focused on the opening stock market that attracts the abroad investors and analyzed the influence of the abroad investors on the stock market. The previous studies were mainly about the stock price volatility, stock price information contents, the efficiency of corporate governance, enterprise innovation, the operating efficiency, investment efficiency, dividend distribution, and so on. Rarely, studies kept eye on the influence of the stock market opening on the information quality of China’s stock market. Information quality of stock market is crucial for the real economy and further deepens the opening of the stock market. But a few research paid attention to the impact of stock market opening on the disclosure quality of information [5], mainly about the financial information contents. As everyone knows, except for financial information, non-financial information are crucial for the investment decision to reduce the information asymmetry and increase the information quality. This paper applies the stock market opening as a quasi-natural experiment, overcoming the possible endogenous problems in the research. We paid attention to the influence of the opening stock market on the disclosure of environmental protection information. To a certain extent, our research has enriched the literature on the opening stock market. (3) The report of the 19th National Congress of the CPC proposed the further opening stock market; our conclusion helps clarify the influence of the abroad investors and provide policy implications on the development of the stock market.


## 2. Literature Review and Hypothesis Development

### 2.1. Literature Review

Since the implementation of the stock market opening, some studies paid attention to the economic results, and this study reviewed the related studies in six aspects. Firstly, decrease the cost of capital. At the beginning of the stock market opening, the impact on the cost of equity capital is not obvious. With the constant improvement of the policies, 2 years after the connect, some studies argued that the stock market opening significantly lowered the cost of equity [5]. Secondly, improve the corporate governance efficiency. Zhong and Lu [4] advocated the target companies, which join the stock market opening, improved the efficiency of corporate governance, then increased the information contents of stock prices, and optimized the allocation of resources. Thirdly, some of the scholars argued that the connect increased the operating and investment efficiency. Chen and Huang [1] found that after the connect, the analysts increased the prediction efficiency and the quality of information disclosure, then promoted the investment efficiency; based on the further research, the article found the company performance increases as well. Fourthly, promote enterprises innovation. From the perspective of information asymmetry, after the implementation of government subsidies, the company achieved higher innovation performance and operating performance [6]. Fifthly, impact the behaviors of companies. Zhong et al. [7] showed after the implementation, the target companies tended to choose the audit firms with higher audit quality. Zou et al. [8] investigated the impact of stock market opening on the corporate violation behaviors and argued that the implementation improving the efficiency of corporate governance and information environment and then restrained the illegal behaviors of the companies. Sixthly, improve the information quality of the company. Rui et al. [9] focused on the influence of the stock market opening to the information disclosure quality and reached the conclusion that firms with a high level of earnings manipulation and low levels of stock price information were more likely to increase the quality of information disclosure after the officially carrying out of stock market opening policy. Zhong et al. [7] found the target companies increased the information disclosure quality and then avoided the heterogeneous fluctuation of stock price. This study emphasizes the aspect of the stock market opening that affects the environment information disclosure, while few research focused on this field. Previous studies with respect to the affect factors of environment information disclosure have focused on the following aspects: (1) macroenvironment promotes the information disclosure of the environmental protection; enactment and implementation of the law and regulations affected the environment information disclosure [10]. Qian and Peng [11] focused on the effects of the Shenzhen Stock Exchange enacted the “Social Responsibility Guidelines” in 2006; they found the better legal environment and the more analysts followed companies; the better “Social Responsibility Guidelines” can improve the information disclosure of environmental protection. The impact of government environmental audits on the information disclosure of the enterprises’ environmental protection is more significant in the regions with the backward legal system and the enterprises with more analysts’ attention [12]. Wang [13] showed that information disclosure of environmental protection is significantly affected by the differences of the industry and the pressure of the external regulations. Huang and Peng [14] pointed out that the environmental information disclosure of enterprises can significantly reduce the overall risk and systemic risk of enterprises. The impact path shows detailed differences between heavily polluting and non-heavy polluting industries in manufacturing. Management rights significantly weaken the negative impact of environmental information disclosure and corporate risk, and this conclusion holds only in non-state-owned enterprises. Cheng and Liu [15] indicated that there is a “U-shaped” relationship between environmental information disclosure of heavily polluting enterprises and corporate value. For companies with stronger environmental supervision, the impact of environmental information disclosure on corporate value is more significant. Wang and Ke [2] found that the more environmental information disclosed, the higher the audit fees. The more the environmental information disclosed by key polluters, the higher the audit fees, while the more environmental information disclosed by non-key pollutant-discharging enterprises, the lower the audit fees. Wang and Ding [16] believe that environmental information disclosure is a behavioral choice made by corporate decision-makers after internalizing external pressure based on personal cognition. There will be differences due to the nature of the company’s own property rights, external environmental performance, and industry characteristics, with different economic consequences. Wu and Jiajia [17] believe that the improvement of the level of environmental information disclosure can significantly promote the high-quality development of enterprises. Among the samples of high-pollution industries, eastern regions, state-owned enterprises, and large-scale enterprises, environmental information disclosure has a more significant role in promoting the high-quality development of enterprises. (2) Corporate characteristics, such as company size, performance, and corporate shareholding ratio, significantly affect corporate environmental protection information disclosure [18]. (3) In terms of economic consequences, Chen and Lu [19] found that the nature of enterprise property rights, the marketization process of the region where the enterprise is located, legal environment, analysts, and media attention play a moderating role in the relationship between compulsory information disclosure of the environmental protection and enterprise investment. The research of Fang and Chu[20] shows that voluntary disclosure information of enterprises could effectively improve the pricing efficiency of the stock market. Previous studies focused on the impact of stock market opening on enterprise economic effects, mainly on enterprise operation and enterprise profitability. In terms of the influencing factors of environmental disclosure, it focuses on the government’s macro environment, which is well related to the new factor of stock market opening.Based on the above analysis, this paper finds that rarely researches kept eyes on the influence of stock market opening on enterprises’ environmental protection information disclosure. At the same time, few scholars paid attention to the information disclosure of company environmental protection and chose the viewpoint of the stock market. Therefore, our study focuses on the influence of stock market opening on enterprise environmental protection information disclosure.


### 2.2. Hypothesis Development

Since the stock market opening policy was carried out, it has had an important influence on the stock market in China. Overseas investor groups have participated in the domestic stock market via the stock market opening mechanisms in China. Due to the regulatory circumstances differences, cultural differences, accounting system differences, and other factors, the cost of information for foreign institutional investors has increased. Foreign institutional investors have incentives to require to increase the disclosure opacity and to decrease the acquisition cost of information. Environmental protection information disclosure as a voluntary information disclosure sent a signal of high-quality information to investors, helped to decrease the information asymmetry between enterprises and investors, and was an important supplement to enterprise financial information in the stock market.(1)
the overseas investors brought by the opening of the stock market, 80% are made up of institutional investors. Compared with the local investors, which mainly comprised the retail investors [5]. Under the information superiority view, foreign investors possess more information resources and a stronger ability for information analysis, aggravating the degree of information asymmetry. On the other hand, due to regulatory environment differences, cultural differences, accounting system differences, and other factors, increased the cost of information for foreign institutional investors. Jenson and Meckling [21] believed that the company voluntarily disclosed the information to settle the information asymmetry between the external stakeholders and management. Brennan [22] analyzed voluntary information disclosure in the process of M&A, under the situation of multiple potential future shareholders, there may be situations where investors have additional information, strengthening the information asymmetry, and the authors argued that the management disclosed the voluntary information to lower the asymmetric information between the shareholders and the insiders of the company. Therefore, enterprises have sufficient incentives to voluntarily disclose environmental protection information so that they could promote the transparency of information and alleviate asymmetric information, then reduce agency costs, and attract domestic and foreign investors’ attention to enterprises.(2)
Since analysts as the information intermediary, the stock market opening in China has attracted the attention of numerous analysts worldwide. Analysts obtain all kinds of enterprise-related information from the stock market and other channels. After analysis and processing of professional knowledge and ability, they write analysis reports and recommend stocks of potential enterprises to investors, fully reflecting their role as information intermediaries. Previous researches have argued that the company may voluntarily disclose more information about environment protecting to attract the analysts and boost the utilization efficiency of corporate information by analysts. Aerts and Schmidt [23] conducted an empirical analysis relating to the information on protecting the environment of the company in Europe and North America, which were disclosed both in paper statements and online. It is found that the information disclosure of environment protection can increase the accuracy of analysts’ earnings forecast, but the relationship is weak in environmentally sensitive industries and companies that analysts pay more attention to. Therefore, this paper believes that due to the increased attention of analysts, enterprises subject to the stock connect of Shanghai (Shenzhen) Hong Kong have the incentive to voluntarily disclose their environmental protection information.


## 2.1. Literature Review

Since the implementation of the stock market opening, some studies paid attention to the economic results, and this study reviewed the related studies in six aspects. Firstly, decrease the cost of capital. At the beginning of the stock market opening, the impact on the cost of equity capital is not obvious. With the constant improvement of the policies, 2 years after the connect, some studies argued that the stock market opening significantly lowered the cost of equity [5]. Secondly, improve the corporate governance efficiency. Zhong and Lu [4] advocated the target companies, which join the stock market opening, improved the efficiency of corporate governance, then increased the information contents of stock prices, and optimized the allocation of resources. Thirdly, some of the scholars argued that the connect increased the operating and investment efficiency. Chen and Huang [1] found that after the connect, the analysts increased the prediction efficiency and the quality of information disclosure, then promoted the investment efficiency; based on the further research, the article found the company performance increases as well. Fourthly, promote enterprises innovation. From the perspective of information asymmetry, after the implementation of government subsidies, the company achieved higher innovation performance and operating performance [6]. Fifthly, impact the behaviors of companies. Zhong et al. [7] showed after the implementation, the target companies tended to choose the audit firms with higher audit quality. Zou et al. [8] investigated the impact of stock market opening on the corporate violation behaviors and argued that the implementation improving the efficiency of corporate governance and information environment and then restrained the illegal behaviors of the companies. Sixthly, improve the information quality of the company. Rui et al. [9] focused on the influence of the stock market opening to the information disclosure quality and reached the conclusion that firms with a high level of earnings manipulation and low levels of stock price information were more likely to increase the quality of information disclosure after the officially carrying out of stock market opening policy. Zhong et al. [7] found the target companies increased the information disclosure quality and then avoided the heterogeneous fluctuation of stock price. This study emphasizes the aspect of the stock market opening that affects the environment information disclosure, while few research focused on this field. Previous studies with respect to the affect factors of environment information disclosure have focused on the following aspects: (1) macroenvironment promotes the information disclosure of the environmental protection; enactment and implementation of the law and regulations affected the environment information disclosure [10]. Qian and Peng [11] focused on the effects of the Shenzhen Stock Exchange enacted the “Social Responsibility Guidelines” in 2006; they found the better legal environment and the more analysts followed companies; the better “Social Responsibility Guidelines” can improve the information disclosure of environmental protection. The impact of government environmental audits on the information disclosure of the enterprises’ environmental protection is more significant in the regions with the backward legal system and the enterprises with more analysts’ attention [12]. Wang [13] showed that information disclosure of environmental protection is significantly affected by the differences of the industry and the pressure of the external regulations. Huang and Peng [14] pointed out that the environmental information disclosure of enterprises can significantly reduce the overall risk and systemic risk of enterprises. The impact path shows detailed differences between heavily polluting and non-heavy polluting industries in manufacturing. Management rights significantly weaken the negative impact of environmental information disclosure and corporate risk, and this conclusion holds only in non-state-owned enterprises. Cheng and Liu [15] indicated that there is a “U-shaped” relationship between environmental information disclosure of heavily polluting enterprises and corporate value. For companies with stronger environmental supervision, the impact of environmental information disclosure on corporate value is more significant. Wang and Ke [2] found that the more environmental information disclosed, the higher the audit fees. The more the environmental information disclosed by key polluters, the higher the audit fees, while the more environmental information disclosed by non-key pollutant-discharging enterprises, the lower the audit fees. Wang and Ding [16] believe that environmental information disclosure is a behavioral choice made by corporate decision-makers after internalizing external pressure based on personal cognition. There will be differences due to the nature of the company’s own property rights, external environmental performance, and industry characteristics, with different economic consequences. Wu and Jiajia [17] believe that the improvement of the level of environmental information disclosure can significantly promote the high-quality development of enterprises. Among the samples of high-pollution industries, eastern regions, state-owned enterprises, and large-scale enterprises, environmental information disclosure has a more significant role in promoting the high-quality development of enterprises. (2) Corporate characteristics, such as company size, performance, and corporate shareholding ratio, significantly affect corporate environmental protection information disclosure [18]. (3) In terms of economic consequences, Chen and Lu [19] found that the nature of enterprise property rights, the marketization process of the region where the enterprise is located, legal environment, analysts, and media attention play a moderating role in the relationship between compulsory information disclosure of the environmental protection and enterprise investment. The research of Fang and Chu[20] shows that voluntary disclosure information of enterprises could effectively improve the pricing efficiency of the stock market. Previous studies focused on the impact of stock market opening on enterprise economic effects, mainly on enterprise operation and enterprise profitability. In terms of the influencing factors of environmental disclosure, it focuses on the government’s macro environment, which is well related to the new factor of stock market opening.Based on the above analysis, this paper finds that rarely researches kept eyes on the influence of stock market opening on enterprises’ environmental protection information disclosure. At the same time, few scholars paid attention to the information disclosure of company environmental protection and chose the viewpoint of the stock market. Therefore, our study focuses on the influence of stock market opening on enterprise environmental protection information disclosure.


## 2.2. Hypothesis Development

Since the stock market opening policy was carried out, it has had an important influence on the stock market in China. Overseas investor groups have participated in the domestic stock market via the stock market opening mechanisms in China. Due to the regulatory circumstances differences, cultural differences, accounting system differences, and other factors, the cost of information for foreign institutional investors has increased. Foreign institutional investors have incentives to require to increase the disclosure opacity and to decrease the acquisition cost of information. Environmental protection information disclosure as a voluntary information disclosure sent a signal of high-quality information to investors, helped to decrease the information asymmetry between enterprises and investors, and was an important supplement to enterprise financial information in the stock market.(1)
the overseas investors brought by the opening of the stock market, 80% are made up of institutional investors. Compared with the local investors, which mainly comprised the retail investors [5]. Under the information superiority view, foreign investors possess more information resources and a stronger ability for information analysis, aggravating the degree of information asymmetry. On the other hand, due to regulatory environment differences, cultural differences, accounting system differences, and other factors, increased the cost of information for foreign institutional investors. Jenson and Meckling [21] believed that the company voluntarily disclosed the information to settle the information asymmetry between the external stakeholders and management. Brennan [22] analyzed voluntary information disclosure in the process of M&A, under the situation of multiple potential future shareholders, there may be situations where investors have additional information, strengthening the information asymmetry, and the authors argued that the management disclosed the voluntary information to lower the asymmetric information between the shareholders and the insiders of the company. Therefore, enterprises have sufficient incentives to voluntarily disclose environmental protection information so that they could promote the transparency of information and alleviate asymmetric information, then reduce agency costs, and attract domestic and foreign investors’ attention to enterprises.(2)
Since analysts as the information intermediary, the stock market opening in China has attracted the attention of numerous analysts worldwide. Analysts obtain all kinds of enterprise-related information from the stock market and other channels. After analysis and processing of professional knowledge and ability, they write analysis reports and recommend stocks of potential enterprises to investors, fully reflecting their role as information intermediaries. Previous researches have argued that the company may voluntarily disclose more information about environment protecting to attract the analysts and boost the utilization efficiency of corporate information by analysts. Aerts and Schmidt [23] conducted an empirical analysis relating to the information on protecting the environment of the company in Europe and North America, which were disclosed both in paper statements and online. It is found that the information disclosure of environment protection can increase the accuracy of analysts’ earnings forecast, but the relationship is weak in environmentally sensitive industries and companies that analysts pay more attention to. Therefore, this paper believes that due to the increased attention of analysts, enterprises subject to the stock connect of Shanghai (Shenzhen) Hong Kong have the incentive to voluntarily disclose their environmental protection information.


## 3. Research Design

### 3.1. Samples and Data Sources

Our study selects the data of public companies in China, and the duration is 2012 to 2020, as research samples, among which the list of stock market opening policy, financial data, corporate governance, and other data were collected from the database called CSMAR. We filter the data following the criteria stated below: (1) the companies that were part of the stock market opening policy removed or newly added during the study sample period were excluded, (2) relevant data missing and ST samples were removed; (3) samples of financial enterprises were excluded; and (4) samples issued in B shares and H shares were excluded. Finally, this study obtained 811 samples of enterprises belonging to the stock market opening and 13,180 company annual sample observations. In this paper, the relevant variables are processed by the tail reduction at 1% and 99% levels. We apply the Stata14.0 software to deal with the statistical analysis.


### 3.2. Models and Variables

#### 3.2.1. Variables of Corporate Environmental Protection Information Disclosure

This paper mainly measures whether enterprises disclose environmental protection information; therefore, we pay attention to whether enterprises disclose relevant information in annual reports, social responsibility reports, and environmental reports. If the enterprise discloses environmental protection information in any of the above three carriers, the value of this variable is 1; otherwise, it is 0.


#### 3.2.2. Opening the Stock Market

We define the companies that have always maintained in the list of stock market opening scope from 2014 to 2020 are regarded as Treat, and the listed year and subsequent years are defined as Post, the Treat ∗ Post is the policy effect of stock market opening. So the proxy variable of the stock market opening is expressed by Treat ∗ Post.


#### 3.2.3. Control Variables

This study applies the following variables as control variables: scale of company (we use the corporate sales revenue taking the natural logarithm), financial leverage (we use total debts divided by the total assets), ROE (the ratio of annual net profit to total net assets), proportion of shareholding of the biggest shareholder, AGE (listing years of listed companies), INSTITUE (shareholding ratio of institutional investors), and SOE (the nature of the company). In addition, we also set the dummy variables of year and industry. In Table1, we introduce the specific definitions of the variables.Table 1
Definitions of the variables.
Type of the variablesNameTitleDescription of the variablesExplained variablesEnvironmental protection information disclosureDiscloseIf the company publishes the information relating to the environment protection in the statements, such as the annual financial reports, social responsibility reports, or environmental reports, we define the value of disclose as 1; otherwise, it is 0.Explanatory variablesStock connectsTreatWe define the value of the variable as 1 if the company is the target company that was included in the stock connect for the first time during the sample period and has not been removed; otherwise, the value is 0.After implementation of the policyPostIf the company becomes the target company of the stock market opening policy, we define the value of the variable as 1; otherwise, it is 0.Opening stock marketTreat ∗ postInteract items of dummy variables between the target enterprises and policy implementation of stock connect.Control variablesSize of the companySizeTake the natural log of the company’s sales.Nature of property rightsStateIt is a dummy variable; if the property belongs to the state, we define the value of the variable as 1, and if the property does not belong to the state, it is 0.Analyst tracking quantityAnalystWe define the value of the variable as the number of analysts involved in the company’s earnings forecast taking a natural log and is added by one.Listing yearsAgeThe number of years a public company has been listed.Shareholding ratio of institutional investorsInstituteThe sum of the institutional investors’ shareholding.Proportion of shareholding of the biggest shareholderBigshareholderThe proportion of shareholding of the company’s largest shareholder.Big Four accounting firmsBig FourIf the listed company employs the international Big Four accounting firms, we define the value of the variable as 1; otherwise, the value is 0.Company growthGrowthThe growth rate of revenue.The total amount of profitEarningThe sum of net profit and finance expenses divided by total assets.Business riskBetaComprehensive market annual beta value.Book-to-market ratioBMThe ratio of the book value of the net assets to total assetsIndustryIndDummy variables of the industry.YearYearDummy variables of the year.


#### 3.2.4. Model Construction

We took the example of the practice by Zhou et al. [3], and we build a difference-in-difference model to verify the influence of the stock market opening mechanism on corporate environmental protection information disclosure. The model is as follows:(1)Disclosei,t=α+β1Treati,t+β2Treati,t×Posti,t+β3Controlsi,t+∑Year+∑Ind+ε.


## 3.1. Samples and Data Sources

Our study selects the data of public companies in China, and the duration is 2012 to 2020, as research samples, among which the list of stock market opening policy, financial data, corporate governance, and other data were collected from the database called CSMAR. We filter the data following the criteria stated below: (1) the companies that were part of the stock market opening policy removed or newly added during the study sample period were excluded, (2) relevant data missing and ST samples were removed; (3) samples of financial enterprises were excluded; and (4) samples issued in B shares and H shares were excluded. Finally, this study obtained 811 samples of enterprises belonging to the stock market opening and 13,180 company annual sample observations. In this paper, the relevant variables are processed by the tail reduction at 1% and 99% levels. We apply the Stata14.0 software to deal with the statistical analysis.


## 3.2. Models and Variables

### 3.2.1. Variables of Corporate Environmental Protection Information Disclosure

This paper mainly measures whether enterprises disclose environmental protection information; therefore, we pay attention to whether enterprises disclose relevant information in annual reports, social responsibility reports, and environmental reports. If the enterprise discloses environmental protection information in any of the above three carriers, the value of this variable is 1; otherwise, it is 0.


### 3.2.2. Opening the Stock Market

We define the companies that have always maintained in the list of stock market opening scope from 2014 to 2020 are regarded as Treat, and the listed year and subsequent years are defined as Post, the Treat ∗ Post is the policy effect of stock market opening. So the proxy variable of the stock market opening is expressed by Treat ∗ Post.


### 3.2.3. Control Variables

This study applies the following variables as control variables: scale of company (we use the corporate sales revenue taking the natural logarithm), financial leverage (we use total debts divided by the total assets), ROE (the ratio of annual net profit to total net assets), proportion of shareholding of the biggest shareholder, AGE (listing years of listed companies), INSTITUE (shareholding ratio of institutional investors), and SOE (the nature of the company). In addition, we also set the dummy variables of year and industry. In Table1, we introduce the specific definitions of the variables.Table 1
Definitions of the variables.
Type of the variablesNameTitleDescription of the variablesExplained variablesEnvironmental protection information disclosureDiscloseIf the company publishes the information relating to the environment protection in the statements, such as the annual financial reports, social responsibility reports, or environmental reports, we define the value of disclose as 1; otherwise, it is 0.Explanatory variablesStock connectsTreatWe define the value of the variable as 1 if the company is the target company that was included in the stock connect for the first time during the sample period and has not been removed; otherwise, the value is 0.After implementation of the policyPostIf the company becomes the target company of the stock market opening policy, we define the value of the variable as 1; otherwise, it is 0.Opening stock marketTreat ∗ postInteract items of dummy variables between the target enterprises and policy implementation of stock connect.Control variablesSize of the companySizeTake the natural log of the company’s sales.Nature of property rightsStateIt is a dummy variable; if the property belongs to the state, we define the value of the variable as 1, and if the property does not belong to the state, it is 0.Analyst tracking quantityAnalystWe define the value of the variable as the number of analysts involved in the company’s earnings forecast taking a natural log and is added by one.Listing yearsAgeThe number of years a public company has been listed.Shareholding ratio of institutional investorsInstituteThe sum of the institutional investors’ shareholding.Proportion of shareholding of the biggest shareholderBigshareholderThe proportion of shareholding of the company’s largest shareholder.Big Four accounting firmsBig FourIf the listed company employs the international Big Four accounting firms, we define the value of the variable as 1; otherwise, the value is 0.Company growthGrowthThe growth rate of revenue.The total amount of profitEarningThe sum of net profit and finance expenses divided by total assets.Business riskBetaComprehensive market annual beta value.Book-to-market ratioBMThe ratio of the book value of the net assets to total assetsIndustryIndDummy variables of the industry.YearYearDummy variables of the year.


### 3.2.4. Model Construction

We took the example of the practice by Zhou et al. [3], and we build a difference-in-difference model to verify the influence of the stock market opening mechanism on corporate environmental protection information disclosure. The model is as follows:(1)Disclosei,t=α+β1Treati,t+β2Treati,t×Posti,t+β3Controlsi,t+∑Year+∑Ind+ε.


## 3.2.1. Variables of Corporate Environmental Protection Information Disclosure

This paper mainly measures whether enterprises disclose environmental protection information; therefore, we pay attention to whether enterprises disclose relevant information in annual reports, social responsibility reports, and environmental reports. If the enterprise discloses environmental protection information in any of the above three carriers, the value of this variable is 1; otherwise, it is 0.


## 3.2.2. Opening the Stock Market

We define the companies that have always maintained in the list of stock market opening scope from 2014 to 2020 are regarded as Treat, and the listed year and subsequent years are defined as Post, the Treat ∗ Post is the policy effect of stock market opening. So the proxy variable of the stock market opening is expressed by Treat ∗ Post.


## 3.2.3. Control Variables

This study applies the following variables as control variables: scale of company (we use the corporate sales revenue taking the natural logarithm), financial leverage (we use total debts divided by the total assets), ROE (the ratio of annual net profit to total net assets), proportion of shareholding of the biggest shareholder, AGE (listing years of listed companies), INSTITUE (shareholding ratio of institutional investors), and SOE (the nature of the company). In addition, we also set the dummy variables of year and industry. In Table1, we introduce the specific definitions of the variables.Table 1
Definitions of the variables.
Type of the variablesNameTitleDescription of the variablesExplained variablesEnvironmental protection information disclosureDiscloseIf the company publishes the information relating to the environment protection in the statements, such as the annual financial reports, social responsibility reports, or environmental reports, we define the value of disclose as 1; otherwise, it is 0.Explanatory variablesStock connectsTreatWe define the value of the variable as 1 if the company is the target company that was included in the stock connect for the first time during the sample period and has not been removed; otherwise, the value is 0.After implementation of the policyPostIf the company becomes the target company of the stock market opening policy, we define the value of the variable as 1; otherwise, it is 0.Opening stock marketTreat ∗ postInteract items of dummy variables between the target enterprises and policy implementation of stock connect.Control variablesSize of the companySizeTake the natural log of the company’s sales.Nature of property rightsStateIt is a dummy variable; if the property belongs to the state, we define the value of the variable as 1, and if the property does not belong to the state, it is 0.Analyst tracking quantityAnalystWe define the value of the variable as the number of analysts involved in the company’s earnings forecast taking a natural log and is added by one.Listing yearsAgeThe number of years a public company has been listed.Shareholding ratio of institutional investorsInstituteThe sum of the institutional investors’ shareholding.Proportion of shareholding of the biggest shareholderBigshareholderThe proportion of shareholding of the company’s largest shareholder.Big Four accounting firmsBig FourIf the listed company employs the international Big Four accounting firms, we define the value of the variable as 1; otherwise, the value is 0.Company growthGrowthThe growth rate of revenue.The total amount of profitEarningThe sum of net profit and finance expenses divided by total assets.Business riskBetaComprehensive market annual beta value.Book-to-market ratioBMThe ratio of the book value of the net assets to total assetsIndustryIndDummy variables of the industry.YearYearDummy variables of the year.


## 3.2.4. Model Construction

We took the example of the practice by Zhou et al. [3], and we build a difference-in-difference model to verify the influence of the stock market opening mechanism on corporate environmental protection information disclosure. The model is as follows:(1)Disclosei,t=α+β1Treati,t+β2Treati,t×Posti,t+β3Controlsi,t+∑Year+∑Ind+ε.


## 4. Empirical Findings

### 4.1. Descriptive Statistics of Variables

The following part is the descriptive statistical results of the variables and is stated in Table2. The implication of the disclose’s mean value (0.729) is that 72.9% of the companies in the sample disclosed environmental protection information. The mean of Treat is 0.231, and the connotation is that the samples of the stock market opening policy are accounted for 23.1%. The mean of state is 0.100, indicating that in this sample, the proportion of the state nature of the company is 10.0%. The average value of ROE is 3.5%, indicating that the average return on equity of sample companies is 3.5%; 30.24% is the average value of Bigshareholder, showing that the average shareholding ratio of major shareholders is 30.24%. The mean analyst number is 7.443, which demonstrates that there are 7 analysts concerned on average among the sample companies and 75 analysts follow the most. The average value of Big Four is 4.3%, indicating that 4.3% of the sample companies choose the four major international firms as auditors.Table 2
Descriptive statistics of variables.
VariablesNo. of observationsMeanMedianMinMaxThe standard deviationDisclose13,1800.7291.0000.0001.0000.444Post13,1800.8401.0000.0001.0000.366Treat13,1800.2310.0000.0001.0000.421Treat ∗ Post13,1800.1780.0000.0001.0000.382Growth13,1801.3350.045−0.998336.30716.363ROE13,1800.0350.058−52.40242.3130.753Size13,18020.49120.4778.90028.3321.515Bigshareholder13,18030.42429.8500.00074.96017.156Analyst13,1807.4433.0000.00075.0009.938Institute13,1802.9670.7440.00027.9834.788Age13,1808.0899.0000.00014.0003.379Big Four13,1800.0430.0000.0001.0000.203State13,1800.1000.0000.0001.0000.300Data are from CSMAR and the China securities regulatory commission website and accounting firm sites.


### 4.2. Regression Results

#### 4.2.1. Stock Market Opening and Environmental Protection Information Disclosure

Figure1 shows the trend of target companies and non-target companies’ information disclosure of environment protecting before and after the stock market opening mechanism. As the result stated in the figure after the stock market opening mechanism was implemented in 2014, compared with the companies not included in the stock marketing opening scope, the companies in the scope disclosed more environmental protection information, and it means that the stock market opening promoted the level of environmental protection information disclosure of enterprises, supporting the hypothesis of this paper.Figure 1
Comparison of environmental protection information disclosure trend between target companies of stock market opening and non-stock market opening.This paper examines the influence of the implementation of the stock market opening mechanism on environmental protection information disclosure through the model constructed above. The empirical research results are shown in Table3. The empirical results of the difference-in-difference model without the control variables are stated in column (1) of Table 3. The results connotate that the implementation of the stock market opening significantly increases the information disclosure of the environmental protection, as the estimated coefficient of Treat ∗ Post is (0.497∗∗∗, 3.01), which is significant at the 1% level, and the same situation considering the control variables, the coefficient of Treat ∗ Post is (0.297∗, 1.70), which is stated in column (2), still significantly promoting the information disclosure of environmental protection of the companies. As the results analyzed above, it connotates that the stock market opening in China has promoted the information disclosure of environment protecting of companies, which supports the hypothesis of this paper.Table 3
Shanghai (Shenzhen) stock connect and environmental protection information disclosure.
Variable(1)(2)DiscloseDiscloseTreat0.1760.108(1.25)(0.72)Treat ∗ Post0.497∗∗∗0.297∗(3.01)(1.70)Growth−0.004∗(−1.91)ROE0.010(0.42)Size0.115∗∗∗(3.57)Bigshareholder0.003(0.91)Big Four0.529∗(1.77)State0.197(1.19)Institute−0.021∗∗∗(−2.88)Age0.123∗∗∗(5.58)Constant3.222∗∗∗−0.001(6.67)(−0.00)IndustryYesYesYearYesYesObservations1084910849PseudoR20.1610.177Z values are reported in the parentheses. p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


#### 4.2.2. Endogeneity: Test Based on PSM-DID

One of the endogeneity problems that might exist is the self-selection of the sample in this research. we adopted the propensity score matching method to verify the conclusion. We use earnings, return on equity, beta, and growth capacity as matching variables, according to the 1:1 nearest neighbor matching principle, constructing the closest sample of the control group to the target companies of stock market opening. We ended up with 3,572 annual sample observations. Table4 shows the sample balance test results before and after PSM. Before PSM, the experimental samples and the control samples in pairing variables have significant differences. After PSM, there were no significant differences in all paired variables between the two groups of samples. After PSM, the sample population mean deviation is no longer significant. The above tests indicate that the samples meet the hypothesis requirements of PSM.Table 4
PSM balance test.
VariableSampleMean (treat = 1)Mean (treat = 0)% Biast-testp > |t|EarningU0.0600.03443.827.340.001M0.0600.0600.10.060.950ROEU0.088−0.0058.14.370.001M0.0880.089−0.1−0.130.896GrowthU6.7434.5285.93.900.001M6.7436.1161.50.770.441BetaU1.1241.158−11.2−7.140.001M1.1241.1290.90.460.642Panel B: Sample population mean deviation testSampleLR chi2Mean biasp > chi2Unmatched819.1617.30.001∗∗∗Matched0.821.10.935This paper applies the PSM method to construct the control sample and carry out the difference-in-difference test; the results are reported in Table5. The empirical outcomes implicate that the stock market opening mechanism increases the disclosure level of companies’ environment protection information. The conclusion made previously still holds.Table 5
Stock market opening and environmental protection information disclosure: based on PSM.
Variable(1)(2)DiscloseDiscloseTreat0.2670.264(1.14)(1.07)Treat ∗ Post0.602∗∗0.524∗(2.16)(1.85)Size0.052(0.95)ROE0.092(0.63)Growth−0.001(−0.20)Bigshareholder−0.018∗∗∗(−2.72)Big Four0.818∗∗(2.20)Institute−0.025(−1.54)Age0.069∗(1.76)State0.662∗∗(2.34)Constant17.295∗∗∗15.998∗∗∗(39.93)(13.80)IndustryYesYesYearYesYesObservations35723572PseudoR20.1790.194Z values are reported in the parentheses. p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


### 4.3. Potential Channels

The above analysis indicates that carrying out the stock market opening mechanism improves the disclosure level of corporate environmental protection information. According to the theoretical analysis, we argue that the stock market opening policy can reduce the information asymmetry, increase the attention of analysts, and thus reduce the agency cost of the target company. In this segment, two direct evidence and potential channels will be displayed to support the argument. We use the method of Wen and Ye [24] to construct the following model to test the mediating effect of agency cost.(2)Y=cX+ε,(3)M=aX+ε,(4)Y=c′X+bM+ε.To investigate the influence ofX on Y, X influences Y by influencing M, and then M is the mediating variable. In model (2), coefficient c is the influence of variable X on Y. The coefficient a in model (3) represents the influence of variable X on the intermediary variable M. If the coefficient c′ in model (4) is significant and coefficient b is significant, it indicates that M plays a partial mediating effect in the relationship of X and Y. When c′ is not significant and the coefficient b is significant, it shows that M plays a complete mediating effect in the relationship of X on Y.


#### 4.3.1. Analysts

Based on the discussion in the previous section, we find that the stock market opening significantly influences the disclosure of environmental protection information of the companies. In this part, we employ the mediating model to verify the impacts of analysts on the relationship between the stock market opening and disclosure issues we discussed above. We use the number of analysts attracting each company as the proxy variable of the analyst. We use the model stated above to construct the following models:(5)Disclosei,t=α+β1Treat∗Posti,t+β2Controlsi,t+∑Year+∑Ind+ε,(6)Analysti,t=α+β1Treat∗Posti,t+β2Controlsi,t+∑Year+∑Ind+ε,(7)Disclosei,t=α+β1Analysti,t+β2Treat∗Posti,t+β3Controlsi,t+∑Year+∑Ind+ε.In the analyst’s mechanism test, we state the empirical evidence in Table6 The coefficient of Treat ∗ Post is (0.398∗∗, 2.93), indicating comparison with non-target companies, the stock market opening improves the target companies’ environmental protection information disclosure and increase by 0.398, and the result significantly at 5%. The empirical result of model (6) is in column (2), and it states the effect of stock market opening on the analyst’s number, and the correlation of them is (0.476∗∗∗, 11.94); it represents the mechanism significantly increase the attention of the analysts. The empirical evidence in column (3) are the outcomes of model (7) on the mediating effect of analysts. The correlation coefficient of analysts is (0.099∗∗, 2.11), and the correlation coefficient of Treat ∗ Post is (0.343∗∗, 2.40). According to the mediating effect analysis, the results indicate that the number of analysts tracked is part of the mediating issues of improving disclosure of the environmental protection information under the stock market opening mechanism. It means that the analysts are influence channels of the stock market opening impacts the information disclosure of the environment protecting.Table 6
Analyst mediating effect.
Variable(1)(2)(3)DiscloseAnalystDiscloseAnalyst0.099∗∗(2.11)Treat ∗ Post0.398∗∗0.476∗∗∗0.343∗∗(2.93)(11.94)(2.40)Size0.117∗∗∗0.138∗∗∗0.145∗∗∗(3.64)(11.67)(4.01)ROE0.0100.047−0.026(0.42)(0.96)(−0.68)Growth−0.004∗−0.000−0.005∗∗(−1.92)(−0.08)(−2.13)Bigshareholder0.0030.002∗∗∗0.001(0.94)(2.63)(0.14)Big Four0.540∗0.361∗∗∗0.448(1.81)(5.17)(1.49)Institute−0.019∗∗∗0.100∗∗∗−0.026∗∗∗(−2.75)(41.54)(−3.32)Age0.123∗∗∗−0.022∗∗∗0.128∗∗∗(5.62)(−4.56)(5.36)State0.200−0.134∗∗∗0.279(1.21)(−2.84)(1.48)Constant−0.054−1.507∗∗∗−0.409(−0.07)(−5.76)(−0.50)IndustryYesYesYesYearYesYesYesObservations10,8499,5758,147PseudoR20.1770.3500.176p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


#### 4.3.2. Agency Cost

According to the discussion in Section2.1, we explore the relationship between stock market opening and environment protecting information disclosure of firms is influenced by the agency cost. We employ the sum of sales expense and management expanse divided by the total asset as the proxy of agency cost. We use the method of Wen and Ye [24] to construct the following model to test the mediating effect of agency cost:(8)Disclosei,t=α+β1Treat∗Posti,t+β2Controlsi,t+∑Year+∑Ind+ε,(9)Agencyi,t=α+β1Treat∗Posti,t+β2Controlsi,t+∑Year+∑Ind+ε,(10)Disclosei,t=α+β1Agencyi,t+β2Treat∗Posti,t+β3Controlsi,t+∑Year+∑Ind+ε.Examining the mechanism of agency cost, we got the empirical evidence stated in Table7. Column (1) is the outcomes of model (8); the coefficient of Treat ∗ Post is (0.410∗∗, 3.02); it indicates under the stock market opening mechanism; and the information disclosure of environment protecting of target companies is improved greater than that of non-target companies. Column (2) is the outcomes of model (9) to test the influence of carrying out the stock market opening policy on the agency cost of the company; the coefficient of the Treat ∗ Post is (−0.10∗∗∗, −6.92); and it implies that the stock market opening mechanism has significantly reduced the agency cost of the enterprises. The result in column (3) of Table 7 is the mediating effect of model (10) on agency cost; the correlation coefficient of agency cost is (−1.284∗, −1.77); and the Treat ∗ Post is (0.427∗∗∗, 3.12). According to the mediating effect analysis, the results indicate that reducing agency cost is part of the mediating variable of improving environmental protection information disclosure under the stock market opening mechanism. It means that the lowering agency cost is the second influence channel of the stock market opening impacts the information disclosure of environmental protection.Table 7
Mediating effect of agency cost.
Variables(1)(2)(3)DiscloseAgencyDiscloseAgency−1.284∗(−1.77)Treat ∗ Post0.410∗∗∗−0.010∗∗∗0.427∗∗∗(3.02)(−6.92)(3.12)Size0.126∗∗∗0.008∗∗∗0.142∗∗∗(3.98)(18.43)(4.03)ROE0.0110.003∗∗∗0.011(0.46)(3.77)(0.49)Growth−0.004∗0.000∗∗∗−0.004∗(−1.90)(8.14)(−1.78)Bgshareholder0.0000.000∗∗∗0.000(0.06)(3.56)(0.12)Big Four0.497∗−0.0040.487(1.68)(−1.55)(1.61)Institute−0.021∗∗∗0.001∗∗∗−0.019∗∗∗(−2.97)(5.50)(−2.73)Age0.104∗∗∗0.028∗∗∗0.096∗∗∗(4.98)(5.56)(4.46)State0.177−0.011∗∗∗0.166(1.08)(−6.14)(1.01)Constant−0.010−0.119∗∗∗−0.256(−0.01)(−12.50)(−0.30)IndustryYesYesYesYearYesYesYesObservations10,83112,72410,518PseudoR20.1700.1610.170p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


## 4.1. Descriptive Statistics of Variables

The following part is the descriptive statistical results of the variables and is stated in Table2. The implication of the disclose’s mean value (0.729) is that 72.9% of the companies in the sample disclosed environmental protection information. The mean of Treat is 0.231, and the connotation is that the samples of the stock market opening policy are accounted for 23.1%. The mean of state is 0.100, indicating that in this sample, the proportion of the state nature of the company is 10.0%. The average value of ROE is 3.5%, indicating that the average return on equity of sample companies is 3.5%; 30.24% is the average value of Bigshareholder, showing that the average shareholding ratio of major shareholders is 30.24%. The mean analyst number is 7.443, which demonstrates that there are 7 analysts concerned on average among the sample companies and 75 analysts follow the most. The average value of Big Four is 4.3%, indicating that 4.3% of the sample companies choose the four major international firms as auditors.Table 2
Descriptive statistics of variables.
VariablesNo. of observationsMeanMedianMinMaxThe standard deviationDisclose13,1800.7291.0000.0001.0000.444Post13,1800.8401.0000.0001.0000.366Treat13,1800.2310.0000.0001.0000.421Treat ∗ Post13,1800.1780.0000.0001.0000.382Growth13,1801.3350.045−0.998336.30716.363ROE13,1800.0350.058−52.40242.3130.753Size13,18020.49120.4778.90028.3321.515Bigshareholder13,18030.42429.8500.00074.96017.156Analyst13,1807.4433.0000.00075.0009.938Institute13,1802.9670.7440.00027.9834.788Age13,1808.0899.0000.00014.0003.379Big Four13,1800.0430.0000.0001.0000.203State13,1800.1000.0000.0001.0000.300Data are from CSMAR and the China securities regulatory commission website and accounting firm sites.


## 4.2. Regression Results

### 4.2.1. Stock Market Opening and Environmental Protection Information Disclosure

Figure1 shows the trend of target companies and non-target companies’ information disclosure of environment protecting before and after the stock market opening mechanism. As the result stated in the figure after the stock market opening mechanism was implemented in 2014, compared with the companies not included in the stock marketing opening scope, the companies in the scope disclosed more environmental protection information, and it means that the stock market opening promoted the level of environmental protection information disclosure of enterprises, supporting the hypothesis of this paper.Figure 1
Comparison of environmental protection information disclosure trend between target companies of stock market opening and non-stock market opening.This paper examines the influence of the implementation of the stock market opening mechanism on environmental protection information disclosure through the model constructed above. The empirical research results are shown in Table3. The empirical results of the difference-in-difference model without the control variables are stated in column (1) of Table 3. The results connotate that the implementation of the stock market opening significantly increases the information disclosure of the environmental protection, as the estimated coefficient of Treat ∗ Post is (0.497∗∗∗, 3.01), which is significant at the 1% level, and the same situation considering the control variables, the coefficient of Treat ∗ Post is (0.297∗, 1.70), which is stated in column (2), still significantly promoting the information disclosure of environmental protection of the companies. As the results analyzed above, it connotates that the stock market opening in China has promoted the information disclosure of environment protecting of companies, which supports the hypothesis of this paper.Table 3
Shanghai (Shenzhen) stock connect and environmental protection information disclosure.
Variable(1)(2)DiscloseDiscloseTreat0.1760.108(1.25)(0.72)Treat ∗ Post0.497∗∗∗0.297∗(3.01)(1.70)Growth−0.004∗(−1.91)ROE0.010(0.42)Size0.115∗∗∗(3.57)Bigshareholder0.003(0.91)Big Four0.529∗(1.77)State0.197(1.19)Institute−0.021∗∗∗(−2.88)Age0.123∗∗∗(5.58)Constant3.222∗∗∗−0.001(6.67)(−0.00)IndustryYesYesYearYesYesObservations1084910849PseudoR20.1610.177Z values are reported in the parentheses. p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


### 4.2.2. Endogeneity: Test Based on PSM-DID

One of the endogeneity problems that might exist is the self-selection of the sample in this research. we adopted the propensity score matching method to verify the conclusion. We use earnings, return on equity, beta, and growth capacity as matching variables, according to the 1:1 nearest neighbor matching principle, constructing the closest sample of the control group to the target companies of stock market opening. We ended up with 3,572 annual sample observations. Table4 shows the sample balance test results before and after PSM. Before PSM, the experimental samples and the control samples in pairing variables have significant differences. After PSM, there were no significant differences in all paired variables between the two groups of samples. After PSM, the sample population mean deviation is no longer significant. The above tests indicate that the samples meet the hypothesis requirements of PSM.Table 4
PSM balance test.
VariableSampleMean (treat = 1)Mean (treat = 0)% Biast-testp > |t|EarningU0.0600.03443.827.340.001M0.0600.0600.10.060.950ROEU0.088−0.0058.14.370.001M0.0880.089−0.1−0.130.896GrowthU6.7434.5285.93.900.001M6.7436.1161.50.770.441BetaU1.1241.158−11.2−7.140.001M1.1241.1290.90.460.642Panel B: Sample population mean deviation testSampleLR chi2Mean biasp > chi2Unmatched819.1617.30.001∗∗∗Matched0.821.10.935This paper applies the PSM method to construct the control sample and carry out the difference-in-difference test; the results are reported in Table5. The empirical outcomes implicate that the stock market opening mechanism increases the disclosure level of companies’ environment protection information. The conclusion made previously still holds.Table 5
Stock market opening and environmental protection information disclosure: based on PSM.
Variable(1)(2)DiscloseDiscloseTreat0.2670.264(1.14)(1.07)Treat ∗ Post0.602∗∗0.524∗(2.16)(1.85)Size0.052(0.95)ROE0.092(0.63)Growth−0.001(−0.20)Bigshareholder−0.018∗∗∗(−2.72)Big Four0.818∗∗(2.20)Institute−0.025(−1.54)Age0.069∗(1.76)State0.662∗∗(2.34)Constant17.295∗∗∗15.998∗∗∗(39.93)(13.80)IndustryYesYesYearYesYesObservations35723572PseudoR20.1790.194Z values are reported in the parentheses. p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


## 4.2.1. Stock Market Opening and Environmental Protection Information Disclosure

Figure1 shows the trend of target companies and non-target companies’ information disclosure of environment protecting before and after the stock market opening mechanism. As the result stated in the figure after the stock market opening mechanism was implemented in 2014, compared with the companies not included in the stock marketing opening scope, the companies in the scope disclosed more environmental protection information, and it means that the stock market opening promoted the level of environmental protection information disclosure of enterprises, supporting the hypothesis of this paper.Figure 1
Comparison of environmental protection information disclosure trend between target companies of stock market opening and non-stock market opening.This paper examines the influence of the implementation of the stock market opening mechanism on environmental protection information disclosure through the model constructed above. The empirical research results are shown in Table3. The empirical results of the difference-in-difference model without the control variables are stated in column (1) of Table 3. The results connotate that the implementation of the stock market opening significantly increases the information disclosure of the environmental protection, as the estimated coefficient of Treat ∗ Post is (0.497∗∗∗, 3.01), which is significant at the 1% level, and the same situation considering the control variables, the coefficient of Treat ∗ Post is (0.297∗, 1.70), which is stated in column (2), still significantly promoting the information disclosure of environmental protection of the companies. As the results analyzed above, it connotates that the stock market opening in China has promoted the information disclosure of environment protecting of companies, which supports the hypothesis of this paper.Table 3
Shanghai (Shenzhen) stock connect and environmental protection information disclosure.
Variable(1)(2)DiscloseDiscloseTreat0.1760.108(1.25)(0.72)Treat ∗ Post0.497∗∗∗0.297∗(3.01)(1.70)Growth−0.004∗(−1.91)ROE0.010(0.42)Size0.115∗∗∗(3.57)Bigshareholder0.003(0.91)Big Four0.529∗(1.77)State0.197(1.19)Institute−0.021∗∗∗(−2.88)Age0.123∗∗∗(5.58)Constant3.222∗∗∗−0.001(6.67)(−0.00)IndustryYesYesYearYesYesObservations1084910849PseudoR20.1610.177Z values are reported in the parentheses. p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


## 4.2.2. Endogeneity: Test Based on PSM-DID

One of the endogeneity problems that might exist is the self-selection of the sample in this research. we adopted the propensity score matching method to verify the conclusion. We use earnings, return on equity, beta, and growth capacity as matching variables, according to the 1:1 nearest neighbor matching principle, constructing the closest sample of the control group to the target companies of stock market opening. We ended up with 3,572 annual sample observations. Table4 shows the sample balance test results before and after PSM. Before PSM, the experimental samples and the control samples in pairing variables have significant differences. After PSM, there were no significant differences in all paired variables between the two groups of samples. After PSM, the sample population mean deviation is no longer significant. The above tests indicate that the samples meet the hypothesis requirements of PSM.Table 4
PSM balance test.
VariableSampleMean (treat = 1)Mean (treat = 0)% Biast-testp > |t|EarningU0.0600.03443.827.340.001M0.0600.0600.10.060.950ROEU0.088−0.0058.14.370.001M0.0880.089−0.1−0.130.896GrowthU6.7434.5285.93.900.001M6.7436.1161.50.770.441BetaU1.1241.158−11.2−7.140.001M1.1241.1290.90.460.642Panel B: Sample population mean deviation testSampleLR chi2Mean biasp > chi2Unmatched819.1617.30.001∗∗∗Matched0.821.10.935This paper applies the PSM method to construct the control sample and carry out the difference-in-difference test; the results are reported in Table5. The empirical outcomes implicate that the stock market opening mechanism increases the disclosure level of companies’ environment protection information. The conclusion made previously still holds.Table 5
Stock market opening and environmental protection information disclosure: based on PSM.
Variable(1)(2)DiscloseDiscloseTreat0.2670.264(1.14)(1.07)Treat ∗ Post0.602∗∗0.524∗(2.16)(1.85)Size0.052(0.95)ROE0.092(0.63)Growth−0.001(−0.20)Bigshareholder−0.018∗∗∗(−2.72)Big Four0.818∗∗(2.20)Institute−0.025(−1.54)Age0.069∗(1.76)State0.662∗∗(2.34)Constant17.295∗∗∗15.998∗∗∗(39.93)(13.80)IndustryYesYesYearYesYesObservations35723572PseudoR20.1790.194Z values are reported in the parentheses. p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


## 4.3. Potential Channels

The above analysis indicates that carrying out the stock market opening mechanism improves the disclosure level of corporate environmental protection information. According to the theoretical analysis, we argue that the stock market opening policy can reduce the information asymmetry, increase the attention of analysts, and thus reduce the agency cost of the target company. In this segment, two direct evidence and potential channels will be displayed to support the argument. We use the method of Wen and Ye [24] to construct the following model to test the mediating effect of agency cost.(2)Y=cX+ε,(3)M=aX+ε,(4)Y=c′X+bM+ε.To investigate the influence ofX on Y, X influences Y by influencing M, and then M is the mediating variable. In model (2), coefficient c is the influence of variable X on Y. The coefficient a in model (3) represents the influence of variable X on the intermediary variable M. If the coefficient c′ in model (4) is significant and coefficient b is significant, it indicates that M plays a partial mediating effect in the relationship of X and Y. When c′ is not significant and the coefficient b is significant, it shows that M plays a complete mediating effect in the relationship of X on Y.


### 4.3.1. Analysts

Based on the discussion in the previous section, we find that the stock market opening significantly influences the disclosure of environmental protection information of the companies. In this part, we employ the mediating model to verify the impacts of analysts on the relationship between the stock market opening and disclosure issues we discussed above. We use the number of analysts attracting each company as the proxy variable of the analyst. We use the model stated above to construct the following models:(5)Disclosei,t=α+β1Treat∗Posti,t+β2Controlsi,t+∑Year+∑Ind+ε,(6)Analysti,t=α+β1Treat∗Posti,t+β2Controlsi,t+∑Year+∑Ind+ε,(7)Disclosei,t=α+β1Analysti,t+β2Treat∗Posti,t+β3Controlsi,t+∑Year+∑Ind+ε.In the analyst’s mechanism test, we state the empirical evidence in Table6 The coefficient of Treat ∗ Post is (0.398∗∗, 2.93), indicating comparison with non-target companies, the stock market opening improves the target companies’ environmental protection information disclosure and increase by 0.398, and the result significantly at 5%. The empirical result of model (6) is in column (2), and it states the effect of stock market opening on the analyst’s number, and the correlation of them is (0.476∗∗∗, 11.94); it represents the mechanism significantly increase the attention of the analysts. The empirical evidence in column (3) are the outcomes of model (7) on the mediating effect of analysts. The correlation coefficient of analysts is (0.099∗∗, 2.11), and the correlation coefficient of Treat ∗ Post is (0.343∗∗, 2.40). According to the mediating effect analysis, the results indicate that the number of analysts tracked is part of the mediating issues of improving disclosure of the environmental protection information under the stock market opening mechanism. It means that the analysts are influence channels of the stock market opening impacts the information disclosure of the environment protecting.Table 6
Analyst mediating effect.
Variable(1)(2)(3)DiscloseAnalystDiscloseAnalyst0.099∗∗(2.11)Treat ∗ Post0.398∗∗0.476∗∗∗0.343∗∗(2.93)(11.94)(2.40)Size0.117∗∗∗0.138∗∗∗0.145∗∗∗(3.64)(11.67)(4.01)ROE0.0100.047−0.026(0.42)(0.96)(−0.68)Growth−0.004∗−0.000−0.005∗∗(−1.92)(−0.08)(−2.13)Bigshareholder0.0030.002∗∗∗0.001(0.94)(2.63)(0.14)Big Four0.540∗0.361∗∗∗0.448(1.81)(5.17)(1.49)Institute−0.019∗∗∗0.100∗∗∗−0.026∗∗∗(−2.75)(41.54)(−3.32)Age0.123∗∗∗−0.022∗∗∗0.128∗∗∗(5.62)(−4.56)(5.36)State0.200−0.134∗∗∗0.279(1.21)(−2.84)(1.48)Constant−0.054−1.507∗∗∗−0.409(−0.07)(−5.76)(−0.50)IndustryYesYesYesYearYesYesYesObservations10,8499,5758,147PseudoR20.1770.3500.176p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


### 4.3.2. Agency Cost

According to the discussion in Section2.1, we explore the relationship between stock market opening and environment protecting information disclosure of firms is influenced by the agency cost. We employ the sum of sales expense and management expanse divided by the total asset as the proxy of agency cost. We use the method of Wen and Ye [24] to construct the following model to test the mediating effect of agency cost:(8)Disclosei,t=α+β1Treat∗Posti,t+β2Controlsi,t+∑Year+∑Ind+ε,(9)Agencyi,t=α+β1Treat∗Posti,t+β2Controlsi,t+∑Year+∑Ind+ε,(10)Disclosei,t=α+β1Agencyi,t+β2Treat∗Posti,t+β3Controlsi,t+∑Year+∑Ind+ε.Examining the mechanism of agency cost, we got the empirical evidence stated in Table7. Column (1) is the outcomes of model (8); the coefficient of Treat ∗ Post is (0.410∗∗, 3.02); it indicates under the stock market opening mechanism; and the information disclosure of environment protecting of target companies is improved greater than that of non-target companies. Column (2) is the outcomes of model (9) to test the influence of carrying out the stock market opening policy on the agency cost of the company; the coefficient of the Treat ∗ Post is (−0.10∗∗∗, −6.92); and it implies that the stock market opening mechanism has significantly reduced the agency cost of the enterprises. The result in column (3) of Table 7 is the mediating effect of model (10) on agency cost; the correlation coefficient of agency cost is (−1.284∗, −1.77); and the Treat ∗ Post is (0.427∗∗∗, 3.12). According to the mediating effect analysis, the results indicate that reducing agency cost is part of the mediating variable of improving environmental protection information disclosure under the stock market opening mechanism. It means that the lowering agency cost is the second influence channel of the stock market opening impacts the information disclosure of environmental protection.Table 7
Mediating effect of agency cost.
Variables(1)(2)(3)DiscloseAgencyDiscloseAgency−1.284∗(−1.77)Treat ∗ Post0.410∗∗∗−0.010∗∗∗0.427∗∗∗(3.02)(−6.92)(3.12)Size0.126∗∗∗0.008∗∗∗0.142∗∗∗(3.98)(18.43)(4.03)ROE0.0110.003∗∗∗0.011(0.46)(3.77)(0.49)Growth−0.004∗0.000∗∗∗−0.004∗(−1.90)(8.14)(−1.78)Bgshareholder0.0000.000∗∗∗0.000(0.06)(3.56)(0.12)Big Four0.497∗−0.0040.487(1.68)(−1.55)(1.61)Institute−0.021∗∗∗0.001∗∗∗−0.019∗∗∗(−2.97)(5.50)(−2.73)Age0.104∗∗∗0.028∗∗∗0.096∗∗∗(4.98)(5.56)(4.46)State0.177−0.011∗∗∗0.166(1.08)(−6.14)(1.01)Constant−0.010−0.119∗∗∗−0.256(−0.01)(−12.50)(−0.30)IndustryYesYesYesYearYesYesYesObservations10,83112,72410,518PseudoR20.1700.1610.170p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


## 4.3.1. Analysts

Based on the discussion in the previous section, we find that the stock market opening significantly influences the disclosure of environmental protection information of the companies. In this part, we employ the mediating model to verify the impacts of analysts on the relationship between the stock market opening and disclosure issues we discussed above. We use the number of analysts attracting each company as the proxy variable of the analyst. We use the model stated above to construct the following models:(5)Disclosei,t=α+β1Treat∗Posti,t+β2Controlsi,t+∑Year+∑Ind+ε,(6)Analysti,t=α+β1Treat∗Posti,t+β2Controlsi,t+∑Year+∑Ind+ε,(7)Disclosei,t=α+β1Analysti,t+β2Treat∗Posti,t+β3Controlsi,t+∑Year+∑Ind+ε.In the analyst’s mechanism test, we state the empirical evidence in Table6 The coefficient of Treat ∗ Post is (0.398∗∗, 2.93), indicating comparison with non-target companies, the stock market opening improves the target companies’ environmental protection information disclosure and increase by 0.398, and the result significantly at 5%. The empirical result of model (6) is in column (2), and it states the effect of stock market opening on the analyst’s number, and the correlation of them is (0.476∗∗∗, 11.94); it represents the mechanism significantly increase the attention of the analysts. The empirical evidence in column (3) are the outcomes of model (7) on the mediating effect of analysts. The correlation coefficient of analysts is (0.099∗∗, 2.11), and the correlation coefficient of Treat ∗ Post is (0.343∗∗, 2.40). According to the mediating effect analysis, the results indicate that the number of analysts tracked is part of the mediating issues of improving disclosure of the environmental protection information under the stock market opening mechanism. It means that the analysts are influence channels of the stock market opening impacts the information disclosure of the environment protecting.Table 6
Analyst mediating effect.
Variable(1)(2)(3)DiscloseAnalystDiscloseAnalyst0.099∗∗(2.11)Treat ∗ Post0.398∗∗0.476∗∗∗0.343∗∗(2.93)(11.94)(2.40)Size0.117∗∗∗0.138∗∗∗0.145∗∗∗(3.64)(11.67)(4.01)ROE0.0100.047−0.026(0.42)(0.96)(−0.68)Growth−0.004∗−0.000−0.005∗∗(−1.92)(−0.08)(−2.13)Bigshareholder0.0030.002∗∗∗0.001(0.94)(2.63)(0.14)Big Four0.540∗0.361∗∗∗0.448(1.81)(5.17)(1.49)Institute−0.019∗∗∗0.100∗∗∗−0.026∗∗∗(−2.75)(41.54)(−3.32)Age0.123∗∗∗−0.022∗∗∗0.128∗∗∗(5.62)(−4.56)(5.36)State0.200−0.134∗∗∗0.279(1.21)(−2.84)(1.48)Constant−0.054−1.507∗∗∗−0.409(−0.07)(−5.76)(−0.50)IndustryYesYesYesYearYesYesYesObservations10,8499,5758,147PseudoR20.1770.3500.176p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


## 4.3.2. Agency Cost

According to the discussion in Section2.1, we explore the relationship between stock market opening and environment protecting information disclosure of firms is influenced by the agency cost. We employ the sum of sales expense and management expanse divided by the total asset as the proxy of agency cost. We use the method of Wen and Ye [24] to construct the following model to test the mediating effect of agency cost:(8)Disclosei,t=α+β1Treat∗Posti,t+β2Controlsi,t+∑Year+∑Ind+ε,(9)Agencyi,t=α+β1Treat∗Posti,t+β2Controlsi,t+∑Year+∑Ind+ε,(10)Disclosei,t=α+β1Agencyi,t+β2Treat∗Posti,t+β3Controlsi,t+∑Year+∑Ind+ε.Examining the mechanism of agency cost, we got the empirical evidence stated in Table7. Column (1) is the outcomes of model (8); the coefficient of Treat ∗ Post is (0.410∗∗, 3.02); it indicates under the stock market opening mechanism; and the information disclosure of environment protecting of target companies is improved greater than that of non-target companies. Column (2) is the outcomes of model (9) to test the influence of carrying out the stock market opening policy on the agency cost of the company; the coefficient of the Treat ∗ Post is (−0.10∗∗∗, −6.92); and it implies that the stock market opening mechanism has significantly reduced the agency cost of the enterprises. The result in column (3) of Table 7 is the mediating effect of model (10) on agency cost; the correlation coefficient of agency cost is (−1.284∗, −1.77); and the Treat ∗ Post is (0.427∗∗∗, 3.12). According to the mediating effect analysis, the results indicate that reducing agency cost is part of the mediating variable of improving environmental protection information disclosure under the stock market opening mechanism. It means that the lowering agency cost is the second influence channel of the stock market opening impacts the information disclosure of environmental protection.Table 7
Mediating effect of agency cost.
Variables(1)(2)(3)DiscloseAgencyDiscloseAgency−1.284∗(−1.77)Treat ∗ Post0.410∗∗∗−0.010∗∗∗0.427∗∗∗(3.02)(−6.92)(3.12)Size0.126∗∗∗0.008∗∗∗0.142∗∗∗(3.98)(18.43)(4.03)ROE0.0110.003∗∗∗0.011(0.46)(3.77)(0.49)Growth−0.004∗0.000∗∗∗−0.004∗(−1.90)(8.14)(−1.78)Bgshareholder0.0000.000∗∗∗0.000(0.06)(3.56)(0.12)Big Four0.497∗−0.0040.487(1.68)(−1.55)(1.61)Institute−0.021∗∗∗0.001∗∗∗−0.019∗∗∗(−2.97)(5.50)(−2.73)Age0.104∗∗∗0.028∗∗∗0.096∗∗∗(4.98)(5.56)(4.46)State0.177−0.011∗∗∗0.166(1.08)(−6.14)(1.01)Constant−0.010−0.119∗∗∗−0.256(−0.01)(−12.50)(−0.30)IndustryYesYesYesYearYesYesYesObservations10,83112,72410,518PseudoR20.1700.1610.170p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


## 5. Robustness Test

### 5.1. Parallel Trend Test

In order to verify the conclusion of this research, carrying out the stock market opening mechanism could improve the level of companies’ environmental protection information disclosure; we carry out the parallel trend test. Parallel trend tests are used to verify whether a phenomenon is caused by the impact of policy implementation. Therefore, if the conclusions of this research meet the above principles, the level of corporate environmental protection information disclosure should be improved after the implementation of the stock market opening mechanism. So, in the parallel trend test section, this paper applies the reference to the method of Wang and Sun Meng (2021), we set the year dummy variables of 2012, 2013, 2015, and 2016 and establish the interaction terms of the year dummy and Treat ∗ Post generating the variable Treat ∗ Post∗ for parallel trend tests. The results are shown in Table 8. The interaction items in 2012 and 2013 were not statistically significant; it shows that two years before carrying out the stock market opening policy, the level of information disclosure of environment protecting did not have significant differences. The interaction items in 2015 and 2016 were significantly positively correlated at 1% statistically. It implies that after carrying out the stock market opening mechanism, the level of information disclosure on environment protecting has been significantly improved, which is consistent with the conclusion of this research.Table 8
Parallel trend test.
Variable(1)(2)(3)(4)DiscloseDiscloseDiscloseDiscloseTreat ∗ Post10.240(1.38)Treat ∗ Post2−0.349(−1.51)Treat ∗ Post30.366∗∗(2.28)Treat ∗ Post40.812∗∗∗(3.42)Control variableYesYesYesYesIndustryYesYesYesYesYearYesYesYesYesConstant2.072−4.699∗∗−7.282∗∗∗10.346∗∗∗(1.28)(−2.50)(−4.98)(6.62)Observations9871,0861,2761,456PseudoR20.02620.08170.1160.137p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


### 5.2. Placebo Test

In this study, the placebo test was used to verify the influence of the stock market opening mechanism on environmental protection information disclosure. This paper artificially changes the starting time of the stock market opening mechanism, four and three years forward, to test whether the impact of the policy has changed. This research takes 2010 and 2011 as the years of policy implementation and then employ the difference-in-difference model to take the empirical test. The outcomes are stated in Table9. It shows that the correlation coefficient between Treat ∗ Post and disclose is no longer significant. We could achieve the conclusion that the change in corporate information disclosure level of environment protecting is brought about by the implementation of stock market opening.Table 9
Placebo test.
Variables(1)(2)(3)(4)DiscloseDiscloseDiscloseDiscloseTreat ∗ Post10.0270.129(0.18)(0.93)Treat ∗ Post2−0.349−0.100(−1.51)(−0.50)Control variableYesYesYesYesIndustryYesYesYesYesYearYesYesYesYesConstant0.1692.082∗∗∗−4.699∗∗1.479∗∗(0.12)(3.48)(−2.50)(2.30)Observations2,1122,1121,0861,086PseudoR20.06810.05870.08170.0387p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


### 5.3. Replace the Proxy Variable of Environmental Protection Information Disclosure

The proxy variable of corporate environmental protection information disclosure is replaced by Dscore. If the enterprise discloses the information relating to the environment protecting issues in the following reports: the annual financial reports, social responsibility reports, and environmental responsibility report, each gets 1 point and calculates the sum of the points. The empirical outcomes of the replacement proxy variable are stated in Table10. The stock market opening has promoted the level of corporate information disclosure of environment protecting, and it is consistent with the previous conclusion.Table 10
Replace the proxy variable of environmental protection information disclosure.
Variable(1)(2)DscoreDscoreTreatTreat ∗ Post0.261∗∗∗0.120∗∗∗(19.94)(8.50)Post−0.109∗∗∗−0.045∗∗(−5.06)(−2.13)Size0.050∗∗∗(14.12)ROE−0.003(−0.54)Growth−0.000(−1.19)Bigshareholder0.000(0.45)Big Four0.342∗∗∗(13.58)Institute0.000(0.21)Age0.022∗∗∗(12.47)State0.094∗∗∗(5.80)Constant0.935∗∗∗−0.368∗∗∗(20.08)(−4.28)IndustryYesYesYearYesYesObservations10,83310,833R20.1050.165PseudoR20.1030.163p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


## 5.1. Parallel Trend Test

In order to verify the conclusion of this research, carrying out the stock market opening mechanism could improve the level of companies’ environmental protection information disclosure; we carry out the parallel trend test. Parallel trend tests are used to verify whether a phenomenon is caused by the impact of policy implementation. Therefore, if the conclusions of this research meet the above principles, the level of corporate environmental protection information disclosure should be improved after the implementation of the stock market opening mechanism. So, in the parallel trend test section, this paper applies the reference to the method of Wang and Sun Meng (2021), we set the year dummy variables of 2012, 2013, 2015, and 2016 and establish the interaction terms of the year dummy and Treat ∗ Post generating the variable Treat ∗ Post∗ for parallel trend tests. The results are shown in Table 8. The interaction items in 2012 and 2013 were not statistically significant; it shows that two years before carrying out the stock market opening policy, the level of information disclosure of environment protecting did not have significant differences. The interaction items in 2015 and 2016 were significantly positively correlated at 1% statistically. It implies that after carrying out the stock market opening mechanism, the level of information disclosure on environment protecting has been significantly improved, which is consistent with the conclusion of this research.Table 8
Parallel trend test.
Variable(1)(2)(3)(4)DiscloseDiscloseDiscloseDiscloseTreat ∗ Post10.240(1.38)Treat ∗ Post2−0.349(−1.51)Treat ∗ Post30.366∗∗(2.28)Treat ∗ Post40.812∗∗∗(3.42)Control variableYesYesYesYesIndustryYesYesYesYesYearYesYesYesYesConstant2.072−4.699∗∗−7.282∗∗∗10.346∗∗∗(1.28)(−2.50)(−4.98)(6.62)Observations9871,0861,2761,456PseudoR20.02620.08170.1160.137p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


## 5.2. Placebo Test

In this study, the placebo test was used to verify the influence of the stock market opening mechanism on environmental protection information disclosure. This paper artificially changes the starting time of the stock market opening mechanism, four and three years forward, to test whether the impact of the policy has changed. This research takes 2010 and 2011 as the years of policy implementation and then employ the difference-in-difference model to take the empirical test. The outcomes are stated in Table9. It shows that the correlation coefficient between Treat ∗ Post and disclose is no longer significant. We could achieve the conclusion that the change in corporate information disclosure level of environment protecting is brought about by the implementation of stock market opening.Table 9
Placebo test.
Variables(1)(2)(3)(4)DiscloseDiscloseDiscloseDiscloseTreat ∗ Post10.0270.129(0.18)(0.93)Treat ∗ Post2−0.349−0.100(−1.51)(−0.50)Control variableYesYesYesYesIndustryYesYesYesYesYearYesYesYesYesConstant0.1692.082∗∗∗−4.699∗∗1.479∗∗(0.12)(3.48)(−2.50)(2.30)Observations2,1122,1121,0861,086PseudoR20.06810.05870.08170.0387p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


## 5.3. Replace the Proxy Variable of Environmental Protection Information Disclosure

The proxy variable of corporate environmental protection information disclosure is replaced by Dscore. If the enterprise discloses the information relating to the environment protecting issues in the following reports: the annual financial reports, social responsibility reports, and environmental responsibility report, each gets 1 point and calculates the sum of the points. The empirical outcomes of the replacement proxy variable are stated in Table10. The stock market opening has promoted the level of corporate information disclosure of environment protecting, and it is consistent with the previous conclusion.Table 10
Replace the proxy variable of environmental protection information disclosure.
Variable(1)(2)DscoreDscoreTreatTreat ∗ Post0.261∗∗∗0.120∗∗∗(19.94)(8.50)Post−0.109∗∗∗−0.045∗∗(−5.06)(−2.13)Size0.050∗∗∗(14.12)ROE−0.003(−0.54)Growth−0.000(−1.19)Bigshareholder0.000(0.45)Big Four0.342∗∗∗(13.58)Institute0.000(0.21)Age0.022∗∗∗(12.47)State0.094∗∗∗(5.80)Constant0.935∗∗∗−0.368∗∗∗(20.08)(−4.28)IndustryYesYesYearYesYesObservations10,83310,833R20.1050.165PseudoR20.1030.163p∗∗∗<0.01, p∗∗<0.05, and p∗<0.1.


## 6. Conclusion

The stock market opening has been carried out for seven years, and a set of relevant supporting policies were introduced during the period, demonstrating the determination of stock market opening in China. At the same time, the stock market opening policy has attracted the attention of foreign institutional investors and analysts. But the academic world pays insufficient attention to the role of the two in the reform of China’s stock market opening. Based on the above analysis, the carrying out of the stock market opening mechanism in November 2014 and December 2016 is regarded as a quasi-natural experiment and construct the difference-in-difference model to analyze the influence of the stock market opening mechanism on enterprise information disclosure of environment protecting. It is found that stock market opening significantly improves the level of enterprise information disclosure of environment protecting. After further study, this article provided evidence that lowering the agency cost and attracting analysts’ attention are the potential influence channels of results discussed above. The stock market opening is one of the important economic policies of China in recent years; the principles of the nineteenth National Congress of the Communist Party of China (CPC) proposed that “expanding the opening of the financial market, finance should serve the real economy.” The conclusion of this research is helpful to understand the implications of the stock market opening mechanism on China’s stock market and to provide policy enlightenment on the in-depth opening of China’s stock market.Although this paper has made some progress in the research on the quality of environmental information disclosure in the capital market opening, there are still many limitations due to limited conditions, and follow-up research needs to be supplemented and improved in the future.First, due to the limited data collected, this paper does not have the impact of capital market opening on environmental information disclosure of heavily polluting industries. The article does not distinguish between mandatory disclosure and voluntary disclosure of corporate environmental information disclosure and studies the differences in the quality of corporate environmental information disclosure under different disclosure properties.Second, to construct a measure of environmental information disclosure, this paper adopts whether to disclose environmental-related information in three disclosure carriers as a proxy variable for environmental information disclosure. In future research, we will quantify the indicators of environmental information disclosure through content analysis and other methods and further measure the quality of environmental information disclosure.



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*Source: 7986151-2022-05-20.xml*