How does the issuance of green bonds impact stock price crash risk: An analysis utilizing the NCSKEW and DUVOL.

China's rapid development in the context of carbon neutrality has positioned it as the global leader in green bond issuance. As the Chinese A-share market continues to slump, adverse shocks are accumulating. Thus, the question arises: How will the issuance of green bonds (GB) impact stock price crash risk (SPCR)? The present study utilizes datasets of Chinese A-share listed firms from 2012 to 2022 and conducts a differences-in-difference analysis to address this inquiry. The findings indicate that issuing GB can significantly reduce SPCR, suggesting that GB plays a stabilizing role in the capital market. This effect remains robust after consideration of parallel trend testing, placebo tests, propensity score matching, replacement of explained variables, and controlling for geographic and industrial factors. The mechanism studies demonstrate that the issuance of GB can effectively alleviate financing constraints faced by companies and reduce SPCR through the financing constraints mechanism. The issuance can also enhance firm exposure and attract investor attention, thereby mitigating SPCR through the investor attention mechanism. The issuance contributes to the formation of a positive reputation image among investors and can diminish SPCR through the investor sentiment mechanism. The heterogeneity analyses show that the depressive effect of issuing GB on SPCR is more pronounced in state-owned enterprises, heavily polluting industries, and regions with a higher degree of marketization. Further discussion suggests that given the influence of externalities, the green signals released when a firm issues GB can spread within the capital market, generating a positive spillover effect on the decrease in SPCR of other firms in the same region and a negative spillover effect on the increase in SPCR of other firms in the same industry. This study not only confirms GB's stabilization role in the capital market, but also offers theoretical insights for improving the institutional design of the green bond market and promoting sustainable green development.