This paper studies the impact of China’s new energy policies on expected changes and volatility in new energy stock prices. Considering different kinds of policies (energy legislation, binding targets for new energies, economic incentives and technological research and development) and several new energy indexes (China’s new energy sector and the solar, wind, nuclear and lithium battery subsectors), we used a regression model with a GARCH specification and dummy variables to differentiate policy pre- and post-announcement effects on expected returns and volatility. Our evidence indicates that pre- and post-announcement energy legislation policies dampened price volatility in all subsector indexes and that economic incentives had a positive policy announcement effect on all subsector index prices. Other new energy policies had no significant impact on either the mean or the volatility of the new energy assets. The potential implications for policy makers and investors are discussed.