In recent years, shouldering missions such as guiding investment, various green indexes have been released. However, whether the green index has really affected the market remains to be verified. In order to explore the stock price effect by the release of green index, this paper takes the stock data of green leading companies in 2017-2019 as a sample, and uses the event study method to analyze the change of the sample companies’ yield after the release of green index. The empirical results show that in the short term, the green index release has a significant impact on the sample companies’ stock prices. After the index is released, the companies’ abnormal return rate is significantly positive overall. In the long run, the stock price effect is not sustainable, and the average abnormal return rate will fall. Further, from the perspective of investor sentiment, the article sorts out the influence mechanism behind the stock price effect. The results show that after the release of the green index, investor sentiment is obviously high, and this sentiment has a significant positive impact on the excess return. The research in this paper provides a good reference for evaluating the effect of the green index release, and at the same time, the exploration of the internal mechanism makes up for the shortcomings of the past research to a great extent.