Research On The Impact Of Air Pollution On Chinese Stock Market Based On Investor Attention

The means of air pollution’s influence on the stock market include the direct influence of objective air pollution and the indirect influence of subjective air pollution attention.Air pollution has a directly objective impact on investors through the physiological effects and psychological effects.Living in the bad weather can increase the level of adrenal cortisol in one’s body,reduce the desire to pursue stimulus and risky behavior,change the investor’s risk appetite and rational decision.At the same time,air pollution may cause people’s mood to deteriorate,and people will be depressed in the case of pessimism and negative perceived bias,behavioral finance believes that the pessimistic mood will have a negative impact on the behavior of individual investors,restricting investors to make rational judgments and choices.Air pollution indirectly has an effect on investors through the limited concern effect,media diffusion effect and environmental regulation effect.Attention is a scarce resource,individual concerns about one thing to reduce the concern for the other things.Investors concern on the air pollution will interfere them to capture other effective information in the stock market,and thus will affect the transactions,and ultimately have an impact on the stock market.Meanwhile,with the increasing of air pollution,the media will follow suit,the news reports,which have a "stare effect",will lead to the fact that events quickly become the focus of public,attracting the attention of individual investors,triggering more psychological fluctuations in investors and affecting their investment behavior.In addition,the increased air pollution will also encourage the community to jointly urge the government to introduce the corresponding policies and regulations,this change in environmental regulation has a strong conductivity,which will cause a lot of investors’ intensive attention,besides,because of the our domestic stock market is a policy-based market,the corresponding impact of environmental regulation on the stock market has a significant impact.This paper uses the Shanghai and Shenzhen 300 Index as a research sample to construct two key proxy variables for air pollution and air pollution attention by using the relative number processing method,based on the Internet data acquisition,processing and mining technology.At the same time,using the correlation test,T test,Logit regression model,multiple linear regression model and other methods to explore whether the air pollution,and how the air pollution affect the stock market.The empirical result show that:the Pearson correlation coefficient matrix shows that there is only a moderate positive correlation between the air pollution variable and the air pollution attention variable;the Granger causality test shows that there is no causal relationship between the air pollution variable and the air pollution attention variable,and there is causal relationship between the lag one or two phases volatility of the stock market and the air pollution proxy variables;the T-test shows that the volatility,the turnover of the stock market is significantly different between the air quality zone and the air pollution zone,and the volatility of the stock market is significantly different the lower air pollution attention range and the higher air pollution range,indicating that air pollution has the potential to influence the stock market;the Logit regression result shows that the air pollution variable has a significant correlation with the turnover rate,which further proves that the air pollution has an impact on the stock market;the results of the multiple linear regression show that the air pollution attention variable is significantly related to the volatility and turnover rate,the air pollution variable is significantly related to the turnover rate,the air pollution mixed factor proxy variable is significantly related to the turnover rate,the air pollution attention variable with hysteresis property is significantly related to the yield and turnover rate,indicating that air pollution and air pollution attention can affect the stock market,the impact of air pollution and air pollution attention on the stock market turnover rate is stronger than on the yield and volatility,the impact of air pollution attention variable on the stock market is stronger than air pollution variable,both air pollution variable and air pollution attention variable have hysteresis property.In order to test the robustness of the models,which explore whether the air pollution,and how the air pollution affect the stock market,this paper further examines whether it is applicable to the multiple linear regression models with the mixed factor proxy variable and with the hysteresis factor proxy variable by using the GEM Index and the SME Market Index as the research objects.It has been found that air pollution has a certain impact on the growth enterprises market and the small and medium-sized market;air pollution and air pollution attention can affect the growth enterprises market and the small and medium-sized market;the impact of air pollution variable on the growth enterprises market and the small and medium-sized market is stronger than air pollution attention variable;both the air pollution variable and the air pollution variable have hysteresis property.At the same time,taking the environmental protection stock index as the study object to explore whether the environmental protection stocks due to speculation and other factors have a special nature,empirical results show that the impact of air pollution and air pollution attention on the environmental protection stocks is not specific,short-term abnormal fluctuations caused by rising speculation are not sustainable and can’t bring excess returns to investors.In the long run,the impact of air pollution and air pollution attention on environmental protection stocks is still affected by the mechanism,which shows how the air pollution and air pollution attention impact the stock market.The study of this paper has great significances.In the academic aspect,this paper studies the relationship between air pollution and the stock market from the perspective of investor attention,bridges the gap between air pollution and the stock market,which enriches the academic achievements about the relationship between the weather phenomena or air quality and the stock market in the field of behavioral finance.In the practice aspect,the study of this paper has important implications,not only to enable investors to rationally concerned about the social hot spots caused by air pollution,to avoid the herd behavior caused by short-term fluctuations in the market,but also in the information uncertainty and asymmetry conditions in the current stock market,to promote the rules system with constraints on market participants’ economic behavior to achieve the optimal allocation of capital market resources and maximize the efficiency.