This research investigates the impact of green stock indices and ESG factors on financial markets, investment strategies, and corporate behavior. Using various research methods, it compares the Huazheng ESG Leading Index to the CSI 300 Index and finds that the former exhibits a higher long-term return rate. The study highlights the growing importance of sustainable finance and green stock indices, emphasizing the need for their development and transparency to support a more environmentally responsible economy. It also addresses the emergence of green indices in China and suggests policy recommendations to promote their growth, particularly in heavily polluting industries and institutional investments.