Abstract: This paper used the Hidden Markov model to identify the implied state of the carbon neutrality index of the China Securities and Shanghai Environment Exchange. From this perspective, it analyzed the price fluctuation mechanism and influencing factors of the carbon neutrality index and its constituent stocks by means of a posterior interpretation and regression equation. It found that the probability of the carbon neutrality index's price fluctuation reaching(-1.6%, +1.6%) and(+1.6%, +5.4%) in a stable state was equal. In a declining state, its price had the inertia to maintain its current state. The factors that affected the price fluctuations of specific stocks in the carbon neutrality sector underwent periodic changes with the transition of implicit states. When the carbon neutrality index was in a declining state, the correlation effect between individual stocks and the carbon market was weak, and there was a negative correlation with the volatility of large cap stocks in the Shanghai and Shenzhen markets. When the carbon neutrality index was in a stable operating state, the correlation effect between individual stocks and the carbon market was strong. At this point, the fluctuation of carbon emission rights prices had become the main driving factor for the fluctuation of carbon neutral stock prices. The research in this article helped to clarify the price fluctuation mechanism of carbon neutral stock indices, thereby facilitating risk management for investors in the low-carbon field.